Beat eggs with sugar, vanilla and yogurt. Add the flour with the cinnamon and vanilla that you've mixed into it beforehand. Mix thoroughly and add the walnuts.
Grease an oven dish and begin to alternate phyllo pastry sheets with a little semolina until you have used half the pastry sheets. Pour some of the egg mixture over the top and place the remaining pastry sheets, again with a little semolina in between. With a sharp knife, cut the baklava into diamonds, or squares. Pour the melted butter on top.
Put to bake in a preheated to about 365°F (185 °C) oven until ready. Syrup the cooled baklava with the hot syrup made from the sugar and water, zest and vanilla, boiled on the stove.
Allow the baklava to sit for 1 day or night before serving.