Remove the bone from the thigh with a sharp flexible knife. Make a large pocket under the skin by lifting one edge back to the far edge but leave the skin connected around all other edges.
Mix the mascarpone with the rosemary (and other herbs if using), lemon zest and salt and pepper. Share the mixture between the thighs by spreading it under the loose skin on the flesh. Cover this with pieces of Parma ham and pull the skin over the ham to its original position.
Roll the thigh up and secure with string or a cocktail stick or even a stick from a sprig of rosemary. Place the thighs in an oven tray and brush with olive oil. Put in oven for 25 minutes until cooked.
To make the sauce, remove the thighs from the tray to leave the cooking juices. Mix in any left over mascarpone. Beat the egg yolk with the juice of the lemon and whisk into the pan juices over a low heat, whisking continuously. When the sauce thickens, season well and pour over the chicken. If the sauce does not thicken enough then add another egg yolk. Careful to not overheat or you could end up with scrambled egg!