In a saucepan, bring the heavy cream and milk to a boil with the sugar, cinnamon stick, and the lemon and orange peels (yellow part only, discard the white pith as it is bitter).

Remove from heat and let steep for a couple of hours. Strain. Add the cornstarch and whisk until completely smooth with no lumps. Return to low heat and cook, stirring constantly, for about 10 minutes. Be careful, as it can stick easily.

Brush a small pan or dish with sunflower oil or melted butter. Pour in the cream mixture so it is about 1 1/2 to 2 centimeters (about 5/8 to 3/4 inch) thick.

Let cool in the refrigerator for about three hours, or preferably overnight, covered with plastic wrap pressed directly onto the surface. Turn out onto a work surface dusted with cornstarch and cut into portions.

Heat oil in a saucepan over medium heat. Coat the squares of cream in cornstarch and beaten egg, then fry until golden.

Remove to paper towels to drain, then coat in a mixture of cinnamon and sugar while still warm.

Alternatively, you can sprinkle generously with sugar and caramelize with a kitchen torch.