Let steaks rest at room temperature for 30-45 minutes before cooking.
Preheat oven to 450°F (232°C).
Heat an oven-safe skillet over medium-high heat and add canola oil.
Pat steaks dry and season both sides with salt and pepper.
Sear steaks for about 45 seconds on each side until browned, then transfer to the oven.
Cook to desired doneness, 4-10 minutes depending on thickness.
For the sauce, melt butter in a pan over medium heat. Add shallots and garlic, sauté until browned.
Whisk in heavy whipping cream, Dijon mustard, and sugar. Add blue cheese crumbles.
Reduce heat to medium-low, stirring until cheese melts. Stir in Parmesan cheese until smooth.
Remove steaks from oven, let rest for 5 minutes, then top with cream sauce.