Presoak a clay pot, top and bottom, in water for 15 minutes. Enlarge the opening in the salmon cavity and rub the salmon, inside and out, with salt and pepper. Insert half the lemon slices, half the celery, and half the onion in the cavity, place in the clay pot and add the remaining lemon slices, celery, and onion on top of the salmon. Add the bay leaves, tarragon, white wine, olive oil, and parsley.
Cover the pot and place in a cold oven.
Set the oven temperature at 450 degrees.
Cook for 45 minutes.
Meanwhile, combine the mayonnaise, egg yolk, mustard, dill, capers, and lemon juice. Set aside.
After 45 minutes test the fish for doneness; it should lift easily away from the bones (don't overcook). When it is done, remove the pot from the oven and pour off the liquid into a saucepan, heat, and thicken with the arrowroot. Add the reserved mayonnaise mixture, mix well, and serve with the salmon.
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