Cut the puff pastry lengthwise into 12 strips of equal width.
To create the paper cylinders, fold baking parchment around a piece of paper a quarter of the size of standard printer paper. Roll the two types of paper together and fold the sticking out ends of the baking parchment inside the resulting tube. Wrap two strips of pastry around each cylinder. Make sure the dough overlaps slightly. It should look like a spiral.
Place the dough spirals on a baking tray and brush them with the beaten egg. Bake them for 15 minutes at 360°F. After baking, gently remove the paper cylinders from the pastry spirals. Take care not to break the pastry.
For the filling, mix the mascarpone, cream, icing sugar, and vanilla flavoring together. To finish, finely chop the strawberries and fold them into the mixture.
Transfer the filling into an icing bag and use it to fill the pastry rolls. Place the tip of the bag as far into the spiral as possible and pull it out slowly as you push the filling out. This will evenly distribute the filling. Repeat this step at the other end of the roll to fill it completely.
To finish, dip the ends of the rolls in chopped almonds.
