To make the dough, dissolve the yeast and sugar in the lukewarm milk, cover, and leave to rest for 10 minutes. Add the flour and the rest of the ingredients and knead to a smooth dough. Rub the dough with a little butter and leave to rest for two hours.
In the meantime, to make the filling, dice the apples finely and drizzle with a little lemon juice. Place the butter, sugar and cinnamon in a bowl and combine well.
Roll the pastry out to a rectangle. Distribute the butter, cinnamon and sugar mixture evenly over half the dough and top with the diced apples. Fold over the other half of the dough and press down firmly. Slice the dough into strips of 2cm thick. Leaving one end intact, cut a slit into each strip, twist into a braid, and then wind the braid into a knot. Place on a baking tray. Whisk the egg and milk together and brush over the dough.
Bake in a preheated fan-assist oven (180°C) for 12 – 15 minutes until golden brown.