In a heatproof bowl mix the egg yolks and sugar together until they become pale yellow. Set a heatproof bowl over a saucepan of simmering water. Make sure the water doesn't touch the bottom of the bowl. Cook on low heat, stirring and whisking constantly, until the mixture thickens and forms a ribbon trail on the surface when the whisk is lifted (5-7 minutes). Remove from the heat and let cool a little.
Whisk in vanilla. Beat in the mascarpone until smooth. In a separate bowl, beat the heavy cream until stiff peaks form. Carefully fold into the mascarpone cheese mixture.