- Preheat oven to 375 °F (190 °C).
- Place ham slices on work surface, in pairs, overlapping slightly. Top ham with cheese slices.
- Cover with spinach leaves and add one or two strips of red pepper at one end of ham slices. Set aside extra pepper strips.
- Roll up, starting with the side with the pepper strips, and use toothpicks to secure rolls. Place in a buttered ovenproof dish.
- Cook in the oven for 7 to 10 minutes.
- Meanwhile, melt butter in a pan and sauté shallot, then add flour. Stir to form a roux*.
- Whisk in chicken stock. Bring to a boil, turn down the heat and let simmer for 2 minutes. Add cream and nutmeg and correct seasoning.
- Pour sauce onto bottom of plates to serve. Add ham roll, cut in half, and decorate with the rest of the red pepper, cut up in fine dice or julienne.
*Roux = mixture made with equal quantities of butter and flour.