Using a sharp knife, cut a cross into the top of each fig, then gently squeeze the bottom of each fig in order to open the fruit.
Divide the blue cheese among the figs, stuffing the pieces into the top of them.
Carefully wrap two slices of Parma ham around the middle of each fig, leaving the tops uncovered.
Place the prepared figs onto a baking tray and cook for 8-10 minutes, or until the cheese has melted and the Parma ham is crisp.
To serve, divide the rocket leaves among four serving plates. Place one roasted fig on top of each pile of rocket. Drizzle over the balsamic glaze and olive oil and season, to taste, with salt and freshly ground black pepper.