In a sauté pan, heat olive oil over medium-high heat. Season steaks with salt and pepper. Sauté until desired doneness, about 3 minutes per side for medium-rare. Set aside.
In the same pan, heat butter and sauté mushrooms until tender, about 10 minutes. Add shallots and garlic, and sauté until soft, about 3 minutes. Stir in thyme; season with salt and pepper. Deglaze pan with Madeira and boil until reduced by half, about 3 minutes.
Add demi-glace and reduce until slightly thickened. Add whipping cream and boil until sauce thickens slightly, about 2 minutes. Season to taste with salt and pepper.
Return steaks to pan and cook until heated through, about 1 minute. Transfer to plates. Spoon sauce over steaks and serve.