In a saucepan, heat the milk (without boiling) and melt the butter and sugar in it. Let it warm a little.
Meanwhile, in a bowl put the flour and the crumbled yeast and form a volcano in the center.
Add the contents of the saucepan and knead.
When the dough is ready, let it rest for 5 minutes.
Meanwhile, chop the olives.
Roll out the dough into a thin rectangle and brush it with butter.
Spread the slices of ham on the dough, without reaching the edges, and on the ham, the chopped olives and the capers.
Brush one of the edges of the dough with water (to be able to seal it) and start rolling it on the opposite edge.
Put the roll on a baking dish painted with butter (or with a baking paper) so that it does not stick, make some marks on the surface and paint it with beaten egg.
Let stand, in a warm place, until doubled in volume.
When the volume has doubled, paint with egg again and bake at 200º for 25-30 minutes.