Warm the milk to about 37 degrees Celsius (99 degrees Fahrenheit), mix it with the yeast in a mixing bowl.
Add salt, oil, and flour, and knead the dough for about 10 minutes (until it is smooth and leaves the bowl).
Let the dough rise for 1 hour in a warm place.
Turn the dough out onto a floured surface, and roll into a rectangle (about 30x20cm and 1 cm thick).
Spread the pesto on the dough and then roll it into a roulade.
Cut it lengthwise but make sure it still stays together at one end, then braid them over each other and place it in a loaf pan.
Let the dough rise for 30 minutes in a warm place.
Whisk an egg and brush the bread, then bake the bread in the oven at 200 degrees Celsius (392 degrees Fahrenheit) fan for about 15-20 minutes until golden.