Whip egg whites until foamy with a mixer. Continue whipping over bain-marie. Gradually add the sugar whipping the whole time until it holds very stiff peaks.Remove from heat and using a metal spoon, lightly fold in the ground walnuts and cocoa powder. Split in half.
Bring water to a boil. Add the egg yolks and boil until harden. Remove from heat and let egg yolks cool.
On the working surface line a plastic wrap, sprinkle with powdered sugar or ground walnuts all over it's surface. Pour half of chocolate mixture and cover with plastic wrap. Using a rolling pin roll into a rectangular about 12 X 8 inches (30 X 20 cm) . Remove the top plastic wrap.
Sieve the egg yolks and mix well with sugar, butter and vanilla extract. Split in half. Pour half of the white mixture over the whole surface of chocolate mixture and roll. Repeat step 3 and 4 with the other halves.
Refrigerate the rolls before serving. You can also place them in the freezer if you prefer this way.