In a small bowl combine the mascarpone, egg yolk, sugar, flour and vanilla. Stir until just combined and then set aside.
Dust the puff pastry with flour and roll with a rolling pin to flatten and smooth.
Place the puff pastry on a sheet tray lined with parchment paper. Schmear the mascarpone down the middle of the puff pastry lengthwise into a 3-inch wide strip. Spoon the fruit preserves on top of the mascarpone.
Using sharp kitchen shears cut the long sides of the pastry into 1-inch wide strips. Cut towards the cheese filling but stop about 1-inch before you get to the filling. This result will look like fringy pastry. Alternating sides, fold 1 piece of the fringe over the cheese and jelly mixture. The result will look like a braided pastry with fruit preserve peeking through. Brush the dough with the beaten egg yolk mixture. Bake for 25 to 30 minutes until golden brown. Let cool on a rack for at least 15-20 minutes before serving. Cut into strips to serve.