In the bowl of a food processor combine the mustard, Worcestershire, garlic, vinegar, lemon juice and anchovy fillets. Pulse until the garlic and anchovy fillets are well chopped. Scrap the sides of the bowl occasionally to ensure even and uniform blending of the ingredients.
While running the processor continuously, pour the olive through the cap into the processor bowl in a slow and steady stream, and process to a smooth and creamy texture.
When all of the oil has been incorporated add the Parmesan cheese with one final spin in the processor. Adjust the seasoning with salt and pepper.
Pour into a clean container and refrigerate until ready to use.