Set the oven at 200C/gas mark 6. Pour the sherry into a medium-sized saucepan. Add the lemon juice, sugar, bay leaves and marmalade, then warm over a moderate heat until the sugar has dissolved.
Cut the apples in half, place them cut side up in a baking dish, then pour the sherry and marmalade syrup over them. Bake for 40-50 minutes or until their flesh has puffed up a little and they are soft enough to cut with a spoon. Baste the apples frequently while they cook.
Remove the tin from the oven and place over a high heat, watching carefully as the syrup reduces to a jammy consistency. Serve the apples and syrup with crème fraîche or thick yogurt.