Start by making the espresso and leaving it to cool to room temperature.
In a deep bowl, mix egg yolks and sugar and vanilla if using, on top of a water bath. Stir and keep cooking for 10 minutes.
Remove mixture from heat and stir for another 2-3 minutes until mixture is not grainy and have a pale yellow color.
In a separate bowl, beat the mascarpone cheese for a minute then pour in the whipping cream and beat until hard peak forms.
Gently fold in the egg yolk mixture until everything is well combined.
Dip the cookies one at a time in the espresso to get them wet and arrange in a 13x9 dish to form one layer.
Spoon almost one third of the cream mixture and level the surface.
Repeat dipping and arranging the rest of the cookies to form the second cookies layer.
Spoon another half of the cream mixture and level.
Fill a piping bag with the rest of the cream, cut the tip and pipe domes on top of the cream to get that fancy look.***
Cover and refrigerate 4 hours and preferably overnight.
Dust with cocoa powder just before serving.