In a bowl, stir together 1 cup room-temperature espresso with 2 tablespoons rum.

In a glass bowl, whisk together eggs yolks and sugar. Place over steam on a saucepan of simmering water making sure the bottom of the bowl is not touching the water. Continue to whisk for 10 minutes on low heat until the mixture is pale, slightly thickened and no longer grainy. Take it off the heat and let cool slightly.

In another large bowl, whisk together mascarpone with 1 tablespoon rum. Next, beat in the warm yolk mixture until well incorporated.

In a separate chilled bowl, beat cold heavy whipping cream until medium-stiff peaks form. Do not under-mix or over-mix.

Using a spatula, gently fold in half of the whipped cream, and saffron into the mascarpone cream followed by the rest of the whipped cream, until incorporated. Do not overfold or it may become grainy.

Quickly dip half of the ladyfingers, one at a time in cooled expresso mix and arrange in a single layer at the bottom of your cups. Make sure not to over-soak the ladyfingers to prevent the cake from going soggy and collapsing.

Spread half of the cream mixture over the first layer of ladyfingers. Dip the rest of the ladyfingers, one at a time, and arrange on top of the first layer of cream. Spread remaining cream. Using a fine sieve, dust cocoa powder all over.

Cover and chill to stiffen the cake before serving.