Method:

1. Line a loaf pan with a large sheet of clear plastic food wrap. Trim as many of the lady finger cookies as necessary in order to line the bottom of the pan. The sugared side of the cookies should face downwards and the cookies should be short enough that additional sponge fingers can be placed upright along the sides. You may also need to trim the upright fingers so they don't stick up above the edge of the pan.

2. Zest the peel of one of the four oranges. Then peel all the oranges and slice up three of them. Squeeze the juice from the fourth one. Caramelize about 1¾ oz of the sugar in a pan. As soon as the sugar turns brown, it can quickly start to burn, In order to avoid this, quench it with the orange segments and the orange juice. Add the cinnamon stick and cook everything until it has a syrupy consistency. Brush some of the liquid onto the lady fingers.

3. Beat the cream until it's stiff. Now beat the mascarpone and the rest of the sugar with an electric whisk. Add the yogurt, vanilla extract, orange zest and the cream and fold the ingredients into the mixture.

4. Fill a piping bag with the cream and squeeze out around half of it in layer over the lady fingers. Press another four lady fingers into the cream and spoon the orange mixture onto them. Don't forget to remove the cinnamon stick! Cover the oranges with four more lady fingers and squirt the rest of the cream on top.