Sprinkle the fish with 3 tablespoons of olive oil. Season inside and out with salt and pepper. Stuff the fennel stalks inside and place on a grid over glowing charcoal. Cook for 20 to 30 mins turning once.
To make the sauce. Put the egg yolks in a bowl with the mustard and some salt and pepper. Mix well whisk in the oil a few drops at a time initially and then in a steady stream. Then whisk vigorously until sauce starts to thicken.
When thick whisk in the vinegar thoroughly stir in the gherkins, capers and herbs season to taste.
Serve the fish cut into 4 portions with the fennel. Sprinkle with the crushed red peppercorns and serve the sauce separately.