Step 1

If you prefer to prepare the cocktail sauce at home, follow these instructions. Put all the ingredients (mayonnaise, ketchup, chili oil, lemon juice, Worcestershire and cognac) in a bowl. Beat well. Cover and let cool before using.

Step 2

Unroll a disc of puff pastry and cut out many discs of 2.5 inches in diameter using a pastry cutter or a glass. Proceed in the same way with the second roll of puff pastry.

Step 3

Arrange 10 discs on a baking sheet lined with parchment paper and prick with a fork. In the remaining discs make a central hole using another smaller (about 2 inch diameter) pastry cutter forming so many circles.

Step 4

Place larger discs on a baking sheet covered with parchment paper and brush with an egg then place 3 smaller discs on each, always brush with beaten egg even on the edges.

Step 5

Bake in a pre-heated oven at 392 F for about 10-15 minutes. They must become swollen and golden. Remove from the oven and let cool before filling.

Step 6

You can use both fresh and frozen shrimp. If you use fresh shrimp, wash and peel them before cooking. Instead the frozen ones just defrost them.

Step 7

Cook shrimp in boiling water for 2 minutes, then drain and dry, dabbing gently with kitchen paper. Leave to cool.

Step 8

To fill the vol au vent, simply combine cocktail sauce in a bowl and then fill the puff pastry shells.