Preheat the oven to 180℃ (160℃ fan)/350°F/gas mark 4. Line a baking sheet with baking parchment. Toast the hazelnuts in the oven for 5-6 minutes until pale golden, then coarsely chop and set aside.
Cut the figs into quarters, from the top almost to the base, and place on the baking sheet. Divide the goat's cheese equally between the figs placing in the centre of each fig.
Bake for 10-15 minutes until the cheese is melted and tinged brown.
Meanwhile, place a few rocket leaves on each serving plate. Place a fig in the centre of each plate. Scatter a few chopped hazelnuts over the plate and drizzle with a little balsamic vinegar and olive oil.
Season with a little pepper and top with a slice of Parma ham if using. Serve immediately.