Put a couple of marshmallows in a saucepan with the milk and heat gently until marshmallows are dissolved. Let cool.
Pour into a glass and add hazelnut liqueur and spiced rum. Top with toasted marshmallows and toasted, chopped nuts.
Toasted marshmallow garnish: Using small baking marshmallows, form a circle of marshmallows packed together as tightly as you can in a size and shape the same as your chosen glass. Grill under a medium heat until starting to brown. Carefully lift with a spatula and float on top of the drink.