Remove the stalks from the mushrooms and brush all over with the oil. Season to taste and place on a baking sheet, skin side up. Cook under a preheated hot grill for 5 minutes.
Meanwhile, mix all the filling ingredients in a bowl and season to taste. Turn the mushrooms over and pile the filling into the cavities, pressing it down.
Cook for a further 3–4 minutes until the filling is golden and the mushrooms are cooked through. Serve immediately with a rocket salad.