Remove the hard end of the endives, making sure they stay intact. Remove any dark or damaged ends.
Place water and wine in a large saucepan and bring to a boil. Add the endives, salt and bring back to a boil. Lower the heat, cover and cook for about 10 minutes.
Melt the butter in a small saucepan. Stir in the flour and mix well. Add the milk and the wine water, salt, pepper and nutmeg. Bring to a boil, stirring with a whisk until the sauce is smooth and bubbling. Cook for about 1 to 2 minutes.
Remove the endives from the water wine boil, save the liquid. Drain the endives and roll the ham around each.
Preheat the oven at 375F.
Butter a gratin dish and place each ham wrapped endives in the dish. Spread the sauce over the endives. Scatter the mozzarella and parmesan cheese.
Place in the hot oven and bake for 10 minutes or until the top is nicely browned.