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To make the leaven, mix the yeast with the sugar and flour, and stir in the warm milk. Set aside in a warm place for 30 minutes.
For the dough, put egg yolks into a heatproof bowl and add the sugar and vanilla sugar. Set the bowl over a pan of simmering water and whisk until smooth and thick.
Sift the flour into the bowl of a stand mixer, add the beaten yolks and the warm cream, mix thoroughly, then add a pinch of salt and the leaven. Bring together to make a dough and knead for 10 minutes (or 15-20 if doing this by hand).
When the dough stops sticking to your hands, pour in the cooled melted butter and knead for a few more minutes. Cover with a cloth and leave in a warm place to rise for at least 1 hr-1 hr 30 mins.
Mix the jam with the ground almonds and spoon into a piping bag or jam syringe. Divide the dough into 16 pieces and shape them into doughnuts. Cover and leave to rise for 30 mins.
Fill a deep pan or a deep fat fryer one third full of oil or melted lard and heat it until it is 180C – if you don’t have a thermometer, drop in a small chunk of bread. The oil is ready when it browns in about 30 secs. Add the doughnuts and fry, turning them once for about 1-2 mins on each side (a thin lighter ring should form in the middle). After removing, drain the doughnuts of excess fat on some kitchen paper.
Mix the icing sugar, lemon juice and almond essence, adding some water if you need to thin the icing. When the doughnuts have cooled a little, pipe in the jam mixture and glaze them in the icing and sprinkle with the chopped almonds.