The night before, season the filets with kosher salt and leave them uncovered in the refrigerator.
An hour before cooking, remove the meat from the refrigerator and allow to come to room temperature. Make the mushrooms. Melt the butter in a skillet, add mushrooms, then season with salt, pepper and thyme. Cook until soft, then add white wine and cook until the wine evaporates. Remove from pan and set aside.
To make steaks, add oil and butter to the saucepan (I use a cast iron pan).Heat pan to medium-high. Sprinkle steaks with coarse pepper and gently press into meat. Add steaks and cook 3 minutes or more per side until internal temperature reaches desired doneness (I remove at 120º for very rare). Remove from pan and cover loosely with foil.
To make sauce, pour off excess oil, add Cognac to pan and allow to reduce over medium heat. Add cream and cook for a couple minutes. Taste the sauce and add a pinch of salt if desired.
To serve, place a steak on each plate, mound with mushrooms and drizzle with the Cognac cream sauce.
Notes
There is enough sauce to serve 4 if you'd like to serve more guests. *I recommend Certified Angus Beef tenderloin.