Add rum to the dish with the coffee/espresso
Heat 1 inch water in the bottom of a double boiler.
In the top part, add yolks and sugar.
You are making sabayon and need to constantly whisk for about 8 mins. It will be lighter in color and thick like pudding. Then let cool.
In a mixer, beat the heavy cream into firm peaks.
Transfer whipped cream to another bowl.
Place the sabayon mixture from the double boiler into the mixer.
Add mascarpone and vanilla.
Whip smooth.
Gently fold the whipped cream into the mascarpone until combined.
Get an 8x8 square pyrex ready for assembly.
Dunk each ladyfinger into the coffee/espresso/rum mixture. Dip both sides quickly so they don't dissolve!
Lay in bottom of the pan.
Spread on half the cream.
Repeat the cookies for the next layer.
Top off with the rest of the cream.
Chill uncovered 8 hours or overnight! (was better next day for us!)
At serving time, sift on cocoa powder.
Slice and enjoy!