Put the milk, bay leaves, onion and peppercorns in a small pan. Bring to the simmer, then set aside for 10 minutes for the flavours to infuse, then strain. Put the milk back into the pan.

Meanwhile, cut the lobster in half lengthwise, then remove the meat from the claws and tail. Cut the meat up into small pieces. Clean out the shells, then set aside.

Put the half-shells in a small baking tray.

Preheat the grill to medium.

Make the sauce. Reheat the milk gently. In another pan melt a knob of butter, add the flour and stir for a few seconds. Add a few spoonful of the warm milk and whisk until you get a smooth paste. Pour this paste into the pan of milk and bring to the boil gently, while stirring constantly. After 5 minutes you should get a thick cream.

Wipe out the pan you used to make the paste, then melt the remaining butter and gently sauté the onion until soft. Add the wine, turn up the heat and reduce it until the liquid has almost gone. Add the white sauce, mustard, herbs, cayenne pepper and a couple of spoonful of grated cheese. Season to taste with salt and black pepper.

Stir the lobster meat into the sauce, then divide the mixture equally between the two lobster shells.

Scatter some cheese on top, then grill for 3-4 minutes until the cheese is bubbling and golden brown.

Serve immediately.