Preheat the oven to 250 degrees F.
Heat oil in a large skillet over high heat. Place all 4 filets in the skillet and cook until your desired degree of doneness, turning once; the filets should have a dark brown, well-seared exterior. If the filets are well-seared but not cooked to your desired degree of doneness, then transfer the filets to the oven and cook until desired degree of doneness.
In the same skillet the filets were browned in, add the whiskey, shallots, thyme and cracked pepper; be careful as the whiskey will flame for 30 to 60 seconds. Reduce by half over high heat. Add the veal glaze, heavy cream, Dijon mustard, and Worcestershire sauce and reduce by half. Remove from the heat and add butter, mixing well to incorporate. Season with salt, to taste. Ladle the sauce over the steak, and serve.
Cook's Note: This sauce can be made without deglazing the pan to accommodate grilled steaks. Simply skip the first step of searing the steaks in the pan.
This recipe was provided by a chef, restaurant or culinary professional. It has not been tested for home use.