Heat the milk up in the microwave so it is warm to touch. Stir in the yeast and allow to sit for 5 minutes. Meanwhile mix the flour and sugar together in a large bowl.
Pop the milk mixture, melted butter, egg yolk and Vanilla Extract into the dry ingredients and mix together until just combined to form a sticky dough. Knead the dough for 3-5 minutes, using either a freestanding mixer with a dough hook attachment or on a surface lightly dusted with flour. The dough should become lovely and smooth and not sticking to the side of the bowl/surface.
Pop the dough into a lightly greased bowl and cover, leave to prove for 1 ½ - 2 hours until it has doubled in size.
Knock the dough back and put on a surface lightly dusted with flour. Flatten the dough out using your hands to about 1 inch thickness. Using a round cutter approx. 3 inch diameter cut out 8 circles of dough and pop them on 2 lined baking trays spaced slightly apart, bring the dough together a re-flatten as needed.
Cover your doughnuts and leave to prove for another 45-60 minutes, to check they have fully proved gently poke the side of one doughnut with your finger and if the indentation stays then your dough is ready to bake.
Pre-heat your oven to 190°C/170°C/Gas Mark 5. Bake your proved doughnuts for 10-15 minutes until golden brown. Once baked brush over the melted butter and once cool enough to handle roll in the granulated sugar to coat the doughnuts.
Using sharp knife make a hole in the side of the doughnuts and pop the jam in a piping bag. Cut a small hole in the end of the piping bag and pipe the jam into each doughnut.
Your doughnuts are ready to enjoy, we recommend serving them warm!