Place the sheet of puff pastry on a lightly floured surface. Spread the ricotta over the pastry and sprinkle with the lemon zest, thyme, asparagus shavings, half the Parmesan and a pinch of black pepper.
Roll into a long log and trim the edges. Brush with the egg and finish with the rest of the grated Parmesan. Place on a baking tray and cook for 15–20 minutes, then cover with foil and cook for another 5 minutes.
When the log is baked and the pastry is golden and crisp all over, remove from the oven and allow to cool before cutting into 2.5cm/1in slices and serving.
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