Put the egg, mustard, lemon juice, garlic, anchovies, salt, pepper in a tall jar and cover with oil.
Place the hand blender at the very bottom and beat without stirring until a thick mass forms at the bottom.
Slowly raise the blender until all the oil is blended.
Turn off the blender, add the Parmesan cheese and mix it in with a spoon. If the sauce is too thick, add a splash of water and mix.