Thoroughly wash the anchovies and pat dry. In a blender or food processer, add the garlic, vinegar, mustard, lemon juice and anchovies and puree until smooth. Place in a bowl and add the egg yolk, whisk vigorously. Add a little bit of the olive oil and whisk again. Continue to add olive oil and whisk, adding oil in small increments until all oil is added. Add pepper to taste.