Whisk together the egg and a splash of milk in a bowl. Fold in semolina and crumbled feta. Season with salt and pepper and set aside.

Preheat the oven to 180°C (350°F). Ensure the oven rack is positioned in the middle.

Layer a sheet of filo pastry and brush lightly with olive oil. Place another sheet on top and press down.

Place a thick line of the cheese filling along one edge of the pastry. Don't overfill.

Fold edges over the filling and roll the pastry upwards tightly to form a log shape.

Place the roll seam-side down on a baking sheet. Brush with olive oil and prick with a toothpick.

Bake for 25 minutes until golden brown and crispy. Watch closely in the last few minutes.

Cool for 5-10 minutes before slicing into bite-sized pieces and serve warm.