Preheat the oven to 400 degrees F. Be sure your stove is well ventilated!
Heat a large (10-inch) cast-iron skillet over high heat for 5 to 7 minutes. Pat the filets dry with paper towels and brush all over with the canola oil. Combine the fleur de sel and cracked pepper on a small plate and roll the filets on the top, bottom and sides in the seasoning, pressing lightly to coat. When the skillet is very hot, add the filets and sear evenly all over (top, bottom and sides) for about 2 minutes per side.
Transfer the steaks from the skillet to a sheet pan (set the skillet aside) and place in the oven for 8 to 12 minutes, until the steaks register 120 degrees F on a meat thermometer for medium rare. Remove from the oven, cover the sheet pan tightly with aluminum foil and allow to rest for 10 minutes.
Meanwhile, heat the butter in a medium (8-inch) saute pan over medium-low heat. Add the mushrooms and saute for 4 to 5 minutes, until they release their juices. Stir in the sherry and cook for 10 to 12 minutes, until the mushrooms are cooked through. Sprinkle with 1/4 teaspoon kosher salt and 1/8 teaspoon pepper and set aside.
At the same time, add the olive oil to the cast-iron skillet (don¿t wipe it out), add the shallots and cook over medium-low heat for 2 minutes. Add the Cognac, stirring to deglaze the skillet, and cook for 2 minutes, until the Cognac evaporates and the shallots are tender. Stir in the cream and simmer for 4 to 5 minutes, until thickened. Stir in the two mustards and taste for seasonings.
Remove the strings from the filets and place on a platter. Spoon the mustard sauce around the filets. Spoon the mushrooms on top of the filets and sprinkle with parsley. Serve hot.