Preheat the oven to 480 degrees Fahrenheit (250 degrees Celsius) and place the rack to the highest shelf. If you want to, you can use the broiler.
Wash asparagus and remove the woody ends. The easiest way to do it is hold the asparagus spear horizontally and bend the bottom part until it snaps - it will naturally snap in the spot where it turns hard.
Place the asparagus on a large baking sheet and toss with 2 teaspoons of olive oil. Spread it accross the sheet pan in one even layer.
Once the oven is hot, place the asparagus on the top shelf and roast or broil for 5-6 minutes, turning once after 3 minutes. Remove from the oven and let cool for at least 10-15 minutes.
In the meantime, cut each slice of prosciutto in half the long way and spread a thin layer of Boursin cheese on each piece.
Once the asparagus is cooled, wrap each spear in a long slice of prosciutto. I do it on the diagonal from the bottom.
Place prosciutto wrapped asparagus on a clean baking sheet and place back in the oven for 4-5 minutes until hot. Don't overbake or prosciutto will turn hard and leathery.
Serve hot.