Place the sugar and water in a pan or small pot and make it boil over medium-high heat. You want to see it really boiling!
Once it's about to boil, start beating the egg yolks on high speed. Add the syrup down the side of the bowl. Keep beating on high speed until the mix has cooled down completely. It should look very thick and foamy. This technique is called a "pâté à bombe".
Keep the pâté à bombe in a bowl to one side and place the cream and mascarpone in the whipping bowl, you don't need to wash it.
Whip up the cream with the mascarpone cheese until you have a thick and smooth mix. Start at low speed so that it doesn't go everywhere and speed it up slowly.
Add half the pâté à bombe to the mascarpone mix and mix them together using a spatula and folding motions. Repeat with the other half.