Heat water in a double boiler. If you don't have a double boiler, place a pot with about an inch of water in it on the stove. Place a heat-proof bowl in the pot making sure the bottom does not touch the water.

In a large mixing bowl (or stainless steel mixing bowl), mix together the egg yolks, sugar, the Marsala (or espresso/ coffee), vanilla extract and lemon zest. Whisk together until the yolks are fully blended and the mixture looks smooth.

Transfer the mixture to the top of a double boiler or place your bowl over the pan/ pot with simmering water. Cook the egg mixture over low heat, stirring constantly, for about 8 minutes or until it resembles thick custard. It may bubble a bit as it reaches that consistency.

Let cool to room temperature and transfer the zabaglione to a bowl. Cover and refrigerate at least 4 hours or overnight, until thoroughly chilled.

Mix together the sugar, flour, lemon zest and vanilla extract in a medium heavy-bottomed saucepan. To this add the egg yolk and half the milk. Whisk until smooth.

Now place the saucepan over low heat and cook, stirring constantly to prevent the mixture from curdling.

Add the remaining milk a little at a time, still stirring constantly. After about 12 minutes the mixture will be thick, free of lumps and beginning to bubble. (If you have a few lumps, don't worry. You can push the cream through a fine-mesh strainer.)

Transfer the pastry cream to a bowl and cool to room temperature. Cover with plastic film and refrigerate at least 4 hours or overnight, until thoroughly chilled.

Combine the cream, sugar and vanilla extract in a mixing bowl. Beat with an electric hand mixer or immersion blender until the mixture holds stiff peaks. Set aside.

Have ready a rectangular serving dish (about 8" by 8" should do) or one of your choice.

Mix together the warm espresso, rum extract, and sugar in a shallow dish, whisking to mix well. Set aside to cool.

In a large bowl, beat the mascarpone cheese with a spoon to break down the lumps and make it smooth. This will make it easier to fold. Add the prepared and chilled zabaglione and pastry cream, blending until just combined. Gently fold in the whipped cream. Set this cream mixture aside.

Now to start assembling the tiramisu.

Workings quickly, dip 12 of the ladyfingers in the sweetened espresso, about 1 second per side. They should be moist but not soggy. Immediately transfer each ladyfinger to the platter, placing them side by side in a single row. You may break a lady finger into two, if necessary, to ensure the base of your dish is completely covered.

Spoon one-third of the cream mixture on top of the ladyfingers, then use a rubber spatula or spreading knife to cover the top evenly, all the way to the edges.

Repeat to create 2 more layers, using 12 ladyfingers and the cream mixture for each layer. Clean any spilled cream mixture; cover carefully with plastic wrap and refrigerate the tiramisu overnight.

To serve, carefully remove the plastic wrap and sprinkle the tiramisu with cocoa powder using a fine-mesh strainer or decorate as you please. Cut into individual portions and serve.