Place a sheet of phyllo on a work surface. Brush with melted butter and sprinkle with Parmesan, nutmeg, salt and pepper. Place an asparagus wrapped in prosciutto along the shorter edge of the dough. Tightly wrap the asparagus in the phyllo and trim off any leftover dough. Repeat with the remaining asparagus. Brush each roll with butter and sprinkle with or roll them in Parmesan. Place the rolls on a greased baking sheet and bake for 5 to 7 minutes, until golden brown. Cut each roll at an angle into 8 pieces and serve immediately.