Place the egg yolk, mustard, anchovies, garlic, vinegar, lemon juice, and a dash of Worcestershire sauce in a blender or food processor. Blend until pureed. With the motor running, add the olive oil in a slow stream. If the dressing stops moving in the blender, stop the machine, add the warm water and then continue until all the oil is added. To finish, add the cheese and pulse to incorporate. Taste and adjust your seasonings.