1. Heat the oil in a small skillet. Add the almonds and cook over moderate heat, stirring, until golden, about 5 minutes. Transfer to a plate and let cool.
2. In a mini food processor, pulse the artichoke hearts with the almonds until finely chopped. Add the cream cheese, Parmesan and lemon zest and process to a paste. Season with salt and pepper.
3. Lay 3 prosciutto slices on a work surface, overlapping them slightly along the sides. Spoon 2 tablespoons of the artichoke filling onto the short end and roll into a tight cylinder. Repeat with the remaining prosciutto and filling. Trim the ends, cut into quarters and serve.
Make Ahead: The rolls can be refrigerated for up to 2 days.