Prepare steaks: Pat steaks dry using paper towels. Sprinkle all over with salt and pepper.
Mince and smash garlic cloves: On a cutting board, smash 2 of the garlic cloves using the flat side of a knife. Mince remaining 2 garlic cloves. Set aside.
Cook the steaks: Heat oil in a large cast-iron skillet over medium-high. Once shimmering, add steaks, and cook, turning occasionally, until well browned on both sides, about 6 minutes total.
Butter baste the steaks: Add butter, smashed garlic cloves, and thyme sprigs; cook, spooning butter mixture over steaks continuously and moving steaks around occasionally, until a thermometer inserted into thickest portion of filets registers at 120°F (rare), 4 to 6 minutes.
Rest steaks: Remove steaks from heat; transfer to a cutting board, and let rest for at least 5 minutes (temperature will continue to rise to 125°F). Do not wipe skillet clean.
Cook shallot and garlic for sauce: Remove and discard smashed garlic and thyme from skillet, leaving butter and juices in skillet. Add shallot and minced garlic to skillet; cook over medium-high, stirring often, until softened and translucent, about 1 minute.
Add and ignite cognac: Remove skillet from heat, and add cognac.
Carefully ignite cognac using a long match or lighter (keep a lid handy to smother any flames if they get out of control).
Finish sauce: Once flames die down, add cream, mustard, and Worcestershire sauce to skillet; heat over medium, stirring to combine and scraping bottom of skillet to release browned bits using a wooden spoon. Cook, stirring constantly, until mixture is warmed through and light brown in color, about 1 minute. Remove from heat.
Slice steaks, and assemble dish: Slice steaks, and pour sauce over steaks; top with parsley.
Notes
Complete your meal with some great side dishes like a creamy, starchy side, such as mashed potatoes or some creamed grits. Or try something lighter, like roasted broccolini or asparagus.