Place the flour in a mixing bowl and make a well in the centre. Add the yeast and a little lukewarm milk. Sprinkle with flour, then cover and let rise 15 minutes in a warm place.
Add remaining milk, melted butter, sugar, egg, salt, lemon and orange zest, almond meal, raisins and walnuts. Mix and knead well to make a dough. Place in a warm place to rise, covered, until doubled in volume.
Knead again and roll out into a rectangle. Form the almond paste into a sausage and place in the middle of the dough along its length. Roll up the bread and place on a baking sheet.
Let bread rise 30 more minutes. Meanwhile, preheat oven to 220 degrees C. Brush bread with melted butter and sprinkle with almonds.