Tenderloin steaks are best cooked hot and fast and benefit from their time on the grill. Marinades are not required as long as you don't over cook the meat. You might want to add a little additional flavor in the form of a spice rub however.
Filet Mignon is cut from the large end of the tenderloin. Châteaubriand comes from the center and is the most tender. Tournedos are cut from the smaller end of the tenderloin.
Filet Mignon Recipes: