Pastrami bagels with cornichon-caper mayonnaise

This is another favourite of mine when it comes to brunches - especially after a night out on the town. Bagels are a fantastic thing, I think I had my first one in New York when I was 22 and it might just as well have been one with a pastrami filling... in Austria,  "beigels" are not as wide-spread as around here, but you will always find them in Jewish bakeries, like the one in the 2nd district which I used to frequent. I found the way they were stored really neat as well, not in a basket, which is custom in most bakeries, but lined up on a long stick hanging far above the customers' heads - which made it very obvious why they have a hole in the middle!
I tried to recreate this favourite of mine on a recent trip to Austria where my Mum laid out a brunch for relatives. I proposed to bring the ingredients, but she said she was sure they could find them there - however, not only where the bagels hard to get (my brother had to bring them from Vienna), but I learnt the hard way that pastrami is not sold in Austria either, not even in Vienna's top-notch grocery store, the Meinl am Graben... a Harrods' food hall of sorts. We ended up using something my brother was assured was very similar - but it did not live up to expectations, not even coming close to the packed goodness of proper pastrami.
So I took an opportunity a few days ago to make these gorgeous pastrami bagels for a picnic we had in Richmond Park and loved every bite of it!

Pastrami bagels with cornichon-caper mayonnaise
(serves 4)

4 bagels (halved)
1 pack (ca. 75 g) rocket salad
16 thin slices pastrami

For the mayonnaise:
4 tbsp chopped cornichons
2 tbsp chopped capers
1 tbsp chopped parsley
3 tbsp mustard (I used German style)
5 tbsp mayonnaise
freshly ground black pepper

Prepare the mayonnaise by combining all the ingredients in a bowl. Toast the bagels and arrange on plates. Lay some of the rocket salad on the bases, then 4 each of the pastrami slices and top with a generous amount of the mayonnaise. Arrange the remaining bagel halves on top of them and serve.