Toast the mustard seeds on low heat and then grind them up using a pestle and mortar. You can also crush them on a board using the side of a large knife.
Put olive oil in a pan on medium-high heat and cook the mushrooms in small batches. Only add enough to cover the base of the pan while keeping some space between them. Season with salt and pepper and don't move around too much to allow them to become golden. Take them out as they are done and continue with the rest.
Once you're done with the mushrooms reserve them. Add more olive oil and cook the onion in medium-low heat until they're soft and translucent.
Add the thyme leave, mustard seeds, garlic, nutmeg and cook for a minute while stirring constantly.
Add back the mushrooms, cream, parmesan cheese and season to taste.