Heat the oil in a non-stick frying pan. Stir fry the aubergine and pepper for approx. 10 mins. Add the onion, garlic, chilli pepper and tomato puree, cook briefly. Pour in the wine and reduce almost completely. Add the tomato, cheese and olives, season.
On a lightly floured surface, roll out the dough to approx. 2 mm thick. Using a cutter, cut out approx. 20 circles (approx. 10 cm in diameter). Place 1 tbsp of filling in the centre of each dough round. Brush the edges of the dough with a little egg, fold the dough over the filling and press the edges down firmly with a fork. Place the empanadas on two baking trays lined with baking paper. Brush with a little egg, prick with a fork.
Bake each tray for approx. 25 mins. in an oven preheated to 200 °C (convection).