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 before serving. Cut into strips to serve.