Preheat the oven to 180C/350F/Gas 4.
For the sponge, cream together the butter and sugar in a food processor until pale and fluffy. Gradually add the eggs, flour and cocoa and pulse until just combined.
Grease an ovenproof frying pan with butter and pour the mixture in. Transfer to the oven to bake for 5-7 minutes, or until well-risen and cooked through.
For the oranges, melt the butter in an ovenproof pan and add the orange slices and sugar, stirring until the sugar has melted, about one minute. Transfer to the oven to roast for 6-8 minutes, or until the oranges are golden-brown and caramelised.
For the citrus yoghurt, stir the orange zest through the yoghurt.
To serve, turn the sponge out onto a serving plate and top with the roasted oranges and a dollop of citrus yoghurt.