Remove the filet mignon from the refrigerator about an hour before baking.

Combine the mustard and horseradish in a small bowl.

Place the bread in the bowl of a food processor and pulse until you have small crumbs. Add the Parmesan, parsley, thyme, rosemary, and olive oil and pulse until the mixture becomes moist, like a paste. Season with salt and pepper.

Heat the oven to 400 degrees. Season the filet with salt and pepper and place it on a wire rack on a baking sheet or in a roasting pan with a rack.

Bake for 20 minutes. Brush the filet with the horseradish-mustard mixture and then coat the top and sides of the filet with the crumb mixture.

Bake for another 20 minutes. Test the filet by taking an internal temperature reading in the thickest part of the meat. The thermometer should register between 125 and 130 degrees, and the crust should be golden brown.

Allow the meat to rest for 15 minutes before slicing.