In a bowl, beat egg yolks and sugar until light and creamy.
Pour milk, cream and chopped nuts into a saucepan; warm over medium heat until the mixture starts to simmer. Remove from the heat and place in a double boiler over a low heat; add egg yolk and sugar mixture. Stir continuously for about 8 minutes until thickened. Remove from the heat, cover and let cool.
Once the mixture has cooled, add the yoghurt and mix well. Transfer the mixture into a plastic container and freeze.
Once the mixture starts to freeze, transfer to a food processor and blend again. Transfer back into container, freeze again, then blend after 30 minutes. Freeze once more until solid. Scoop into serving bowls and serve immediately.