Sprinkle the yeast over the warm water and let proof until bubbly.
Combine the flour, salt and milk powder in the bowl of a stand mixer. Add the yeast mixture and the olive oil and stir until dough comes together, then put the mixture under the dough hook and knead until it is smooth and elastic.
Put the dough in an olive oil coated bowl and flip it around to coat. Cover and let rise for 1 hour.
Punch down the dough and on a floured surface, roll it into an oval about 10 x 8. Lay the ham and cheese across half the dough, leaving a 1 inch border. Fold dough over filling and press edges to seal. Transfer to a parchment lined baking sheet. With a razor blade, make 3 or 4 cuts across the top. Let rise for another hour.
Before baking, brush with egg and sprinkle with sesame seeds. Bake at 350 degrees F. for 35 minutes. Let cool for about 10 minutes, then cut into 8 slices.