Combine the Worcestershire, mustard, and brandy in a small bowl and whisk to blend. Set aside.
Season the filets with the salt and cayenne. Combine the butter and pecan oil in a large skillet over medium-high heat. Add the filets and cook for about 4 minutes on each side for medium-rare. Brush the sauce over the filets and cook for 1 minute longer.
Transfer the filets to a platter and pour the pan juices over them to serve. Garnish with the rosemary.