Preheat the oven to 200C/400F/Gas 6.
Rub the pepper with olive oil, season and roast in the oven for 10 minutes. In a large bowl mix together the yolks, cream, cheese and cauliflower and season with salt and freshly ground black pepper.
Remove the pepper from the oven and spoon in the cauliflower mixture. Return to the oven and cook for a further five minutes.
To serve, place the pepper in the centre of a warm plate.