Add condensed milk and cocoa medium saucepan.

Place over low heat. Cook until smooth and slightly thickened, about 5 minutes.

Remove from heat. Allow to cool slightly.

When cooled, stir in heavy cream, light cream and vanilla extract. Cover and refrigerate until cold.

When ready to make, pour mixture into the canister of an ice cream maker and freeze according to manufacturer's directions. Stir in nuts and marshmallows halfway through the freezing process.