Place 380mls of warm water into a food processor with a dough blade. Add the olive oil, salt, sugar, flour, milk powder, bread improver and yeast. Process for 1 minute. Remove from food processor and place into a glass bowl, cover with glad wrap and then place in a warm spot for 1 hour.
Place the dough ball back into the food processor bowl with the dough blade and process for 30 seconds. Roll onto a floured surface and cut into 8 pieces. Roll each piece into a long dough strip.
Spread a tablespoon of vegemite onto each strip and sprinkle with 1 tablespoon of parmesan cheese. Roll into a scroll shape and place them all onto a baking tray covered in baking paper.
Push them together so that they are touching and then brush lightly with butter and top with mozzarella cheese.
Bake for 30minutes at 180°C. Remove and allow to cool on a cake cooler.