Make a long horizontal slit through the thickest part of each chicken breast without cutting right through.
Crumble the ricotta into a bowl. Chop the spinach and mix into the ricotta with the nutmeg. Season with salt and pepper.
Divide the stuffing between the slits in the chicken breasts and wrap each one in 2 pieces of Parma ham, winding it around the chicken to cover the meat totally.
Heat the oil in a shallow ovenproof pan, add the chicken breasts and sauté for 4 minutes on each side or until the ham starts to brown. Transfer to a preheated oven, 200°C (400°F), Gas Mark 6, and cook for 15 minutes. Serve with lemon wedges and rocket leaves drizzled with olive oil.