1. Rinse the endives and drain. Heat 2 tbsp of butter in a heavy skillet in which the endives will fit in one layer. Arrange the endives in the pan. Sprinkle with the lemon juice and water. Cover closely and cook 30 min. or until tender. Watch carefully that the cooking liquid does not boil away and the endives burn. If necessary, add a little more water to prevent sticking. 2. Meanwhile, melt 3 tbsp of butter in a saucepan and add the flour, stirring with a wire whisk. When blended, add the milk, stirring rapidly with the whisk. Add the nutmeg and cayenne to taste. Cook, stirring often, about 5 min. 3. Add about 1 cup of the cheese and stir until melted. Add the egg yolks, stirring rapidly. Bring just to a boil, stirring, but do not boil or the sauce will curdle. 4. Preheat the oven to 425. 5. Place the ham slices on a flat surface. Place an endive on each slice, crosswise in the center. Roll the ham slices to enclose the endive. 6. Use the remaining butter to grease a baking dish. Arrange the ham rolls in the dish, in one layer. Spoon the sauce over all. Sprinkle with the remaining cheese. 7. place the dish in the oven and bake 10 min. If the top is not uniformly brown, run the dish briefly under the broiler. This dish: Jambon et endives au gratin