1. Make the challah dough. In the bowl of a stand mixer, crumble the yeast over the cool water. Add the flour, two eggs, salt and sugar, then strew the cubed butter on top. Mix on low speed with the dough hook until everything is combined, then increase the speed to medium and knead for 4 minutes until the dough is smooth, supple, and elastic. If it’s too dry or “tight,” add another tablespoon of water. (Which I did.)
2. Sprinkle some flour lightly in another bowl and transfer the dough to the bowl. Sprinkle the top lightly with flour, cover the bowl with a kitchen towel, and let rise in a warm place until it’s risen by 70%, about 40 to 60 minutes.
3. While the dough is rising, make the marzipan filling. Mix the marzipan and sugar in a medium bowl with your hands until it’s well broken up. Mix in the butter, one tablespoon at a time, until it’s fully incorporated and there are no visible bits of butter. Add the flour, and set aside.
4. Remove the challah dough from the bowl with a plastic scraper or spatula, being careful to deflate it as little as possible. Divide the dough into thirds, then divide each third into three pieces; you should have 9 pieces of dough. (You can use your kitchen scale for this if you want them exactly the same size, although I eyeballed them.)
5. Line two baking sheets with parchment paper or silicone baking mats.
6. With a rolling pin, on a lightly floured surface, roll one piece of dough into a 9- by 5-inch (22 x 12cm) rectangle. With the long end facing you (see photos in the post), smear a very scant 1/4 cup (45g) over the right one-third of the rectangle, then roll the cylinder up tightly, working from right to left. Pinch the seam together and place it seam side down on the work surface. Continue rolling and filling all 9 pieces of dough in the same manner.
7. Roll each marzipan-filled cylinder with your hands into a rope between 12- and 13-inches (30-33cm) in length. Don’t add flour at this point, which will make them harder to roll.
8. When done, dust your hands very lightly with flour and rub them over the ropes. (The flour will help keep the ropes separate when baked.)
9. To braid each of the three loaves, pinch three of the almond-filled ropes together at the top end. Braid the loaf by taking the rope on the left and lifting it over the center rope, placing it down so it’s now the center rope. Lift the right rope and place it over that center rope.
Then continue with the left, placing it over the center rope, then the right. (If you’re confused, you’re always putting the left or right rope over only the center rope.) When you’re done, pinch the two ends of the braided loaf together, tuck both ends under the bottom, and place the loaf on one of the baking sheets. Braid the remaining six cylinders, using three at a time, to make two more loaves.
10. Cover the loaves with kitchen towels and let rise in a warm place for 1 1/2 to 2 hours, until doubled in volume.
11. Preheat the oven to 350ºC (180ºC).
12. To make the egg wash and almond topping, mix the egg with water and a pinch of salt in a small bowl with a fork. Brush the egg wash over the risen loaves of challah, making sure you don’t brush it on too heavily, or it’ll pool in the crevasses. (If you have extra egg wash, you can rebrush the loaves again with more glaze. Sprinkle sliced almonds over the top and on the sides of each challah and sprinkle each with 1 teaspoon of sugar.
13. Bake the loaves of challah for 15 minutes. Rotate the baking sheets in the oven, turning them around and switching the shelves they’re on, so they bake evenly. Bake 10 minutes more, then remove the loaves of challah from the oven and let cool on the baking sheets before slicing.