For the dough:

1. Heat the milk in a small pot until slightly warm (about 110 degrees).
2. Add the milk and the yeast to a bowl attached to a stand mixer with the dough hook attachment. Let the yeast dissolve and activate for about 5 minutes.
3. Add the egg and mix until just combined.
4. Next mix in the flour, sugar, vanilla, and salt. Mix until combined. Finally, mix in the butter about a tablespoon at a time. Continue to knead until the dough is thoroughly mixed.
5. Transfer the dough to an oiled bowl and let rise until it has doubled in size—about 1 hour.

For the filling:

1. In a medium bowl, beat to the butter, sugar, cinnamon, vanilla, and bourbon until its light and fluffy.

For the assembly:

1. Roll the dough out into a rectangle that about 1/4 inch thick.
2. Spread the filling evenly over the dough.
3. Roll the dough over its self so that it makes a long log. With a very sharp knife, cut the dough into 6-8 pieces that are 1 inch thick.
4. Line a baking sheet with parchment and place the rolls on top, while leaving space for them to rise. Let them rise again for 30 minutes and preheat the oven to 350 degrees.
5. Bake for 25 minutes.

For the frosting:

1. In the bowl of a stand mixer with the paddle attachment, beat the mascarpone or cream cheese and the butter together. Next add in the vanilla, bourbon, salt, and cinnamon.
2. Slowly add in the powder sugar a low until it all comes together. Beat on medium until its light and fluffy.