1. In a large quantity of salted water, cook the scallops al dente. Drain. Place separately, opening downwards, on a kitchen towel.
2. Cut the ham and fontina into thin slices; set aside in a bowl.
3. Preheat the oven to 400°F.
4. In a saucepan, melt the butter; add the flour and cook until golden. Add the milk, salt, pepper, and a pinch of nutmeg. Stir constantly with a wooden spoon and cook the sauce for about 10 minutes.
5. A few minutes before removing the white sauce from the heat, add the fontina to melt, then add the ham. Remove the mixture from the heat; add the egg yolks one at a time, stirring constantly. Fill the scallops with the warm mixture.
6. Place the stuffed scallops close to each other in a buttered oven dish, filling upwards. Melt the remaining butter and pour over the scallops.
7. Sprinkle with grated parmesan and place in the oven for 20 to 25 minutes, until the surface is golden.
8. Transfer to a serving dish and serve garnished with a few fresh herbs.