Preheat the oven to 180°C.
Divide the cheese into four portions and roll each into a tight ball.
Place the lamb mince into a large mixing bowl.
Add the onion, anchovies, and gherkins to the meat.
Add capers and season well with salt and black pepper.
Mix the contents of the bowl thoroughly by hand.
Divide the mince mixture into four equal portions.
Flatten each portion in your palm, creating a small well in the center.
Place a cheese ball in the well and mould the meat around it to form a sphere.
Heat olive oil in a pan and brown the burgers over moderate heat.
Transfer burgers to the oven and bake for 30 minutes.
Soak sliced bun faces in pan juices and serve burgers inside.