Proof the fresh yeast rise in a mix of 1/4 cup (60 ml) lukewarm milk, 1 tbsp sugar and 1 tbsp flour. Please note that if using dry yeast, you need to dissolve it first in a few tablespoons of water.
Mix flour, eggs, egg yolks, yeast (or yeast mixture, see previous step), lukewarm milk, sugar, salt and melted butter in a kneading bowl.
Knead the dough for 10 minutes. You'll have a soft and loose dough that easily forms a ball and doesn't stick.
Let it proof it in a lightly floured bowl (also be sure to sprinkle flour on top) for 1 hour.
In the meantime, preheat your oven to 355 F (180 C) and prepare the walnut filling. Simply mix icing sugar and ground walnut. Do not add butter at this point!
Roll out your dough on a lightly floured work surface, forming a rectangle shape, 1/5 - 2/5 inch thick (5-10 mm).
Spread the soft butter over the dough, then sprinkle it with the icing sugar - ground walnut mixture.
Roll up the dough like a Swiss roll and cut in 1 1/4 inch (3 cm) slices.
Put your rolls in a lightly greased baking pan, not too tight. I use a 25x35 cm (approx. 10 by 14 inch) baking pan, this size is perfect for 16 wasp nest cakes. Let it proof for 15 minutes, covered.
Bake for 20 minutes in the preheated oven, uncovered.
Pour the milk bath mixture over your cake. Bake for 5 more minutes.
Take out of the oven and let it rest at least 15 minutes, covered. The wasp nest cakes will stick together, but they are easy to take apart. Serve fresh.