Preheat oven to 350 degrees
Wipe mushrooms of dirt and twist off stems (save for another time).
Heat the butter and oil on a large skillet. Place mushrooms flesh side down and saute until tender, about 3-4 minutes. Then turn over and saute for another 2 minutes (if necessary, add more butter).
Remove the mushrooms and drain centers on paper towels. Lightly salt and pepper the centers.
In a large bowl, mix the feta cheese and the heavy cream until blended. Stir in the walnuts, bread crumbs and cayenne pepper.
Spoon the filling into the center of each mushroom and place on a baking sheet and bake uncovered for 7 minutes or until cheese is bubbling.
Top with fresh chopped parsley.