Roll out the pastry to a 24 x 26cm rectangle. Brush with a little egg and place 4 spaced-out rows of anchovies over the pastry, parallel to the longest sides. Sprinkle the Parmesan between the rows.
Roll up the pastry from each long side to meet in the middle, brushing with a little egg to help it stick. Using a very sharp knife, cut into thin slices. Place slices a little apart on a baking sheet lined with baking parchment. Chill for at least 30 mins, or cover with cling film and chill for up to 24 hrs.
Heat oven to 200C/180C fan/gas 6. Bake for 12-15 mins until the pastry is crisp and golden.
