Heat the oven to 350°F and line two baking sheets with parchment. Beat butter and sugar until creamy, then beat in the egg yolk and vanilla.
Mix in flour and salt just until the dough comes together. Divide into 24 balls.
Lightly beat the egg white. Dip the outer sides of each ball in egg white, roll in almonds and set on the sheets, leaving the bottoms mostly bare.
Press a deep hollow into each ball with the end of a wooden spoon, keeping the base intact. Fill each hollow with about 1/2 teaspoon jam.
Bake one sheet at a time for 11 to 12 minutes, until the edges are pale golden. Let cool on the sheets for 10 minutes before moving; the jam will be very soft while hot.