Preheat the oven to 180°C (350°F / gas mark 4). Starting at the thick side of each chicken fillet, cut a deep horizontal pocket into each breast. Stuff with a piece of Gorgonzola cheese.
Lay three sage leaves on top of each breast. Warp each one in two slices of Parma ham and tie with kitchen string or secure with a couple of cocktail sticks. Season.
Heat half the oil in a large ovenproof frying pan and fry the chicken for 1-2 mins on each side until just sealed.
Meanwhile, toss the asparagus spears in the remaining oil, scatter around chicken parcels, transfer the frying pan to the oven and roast for 8-10 mins until cooked through and tender. Remove string or cocktail sticks and arrange on warmed plates to serve.
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