Place the pecans on a baking sheet and roast for 5 minutes.
In a heavy saucepot over a medium heat, cook the cream for 3 minutes. Add the sugar and rum. Whisk the mixture until the sugar is dissolved.
Stir together cornstarch and water in a cup. Add this mixture to the cream, and stir for 2 to 3 minutes or until the mixture is thickened.
Stir in the orange zest and pecans.
Bread Pudding
Place French bread in a buttered 8 x 12-inch baking dish.
In a separate bowl, beat the eggs and sugar on high speed with a mixer for 3 to 4 minutes. Add the nutmeg, cinnamon, milk and butter and beat on low speed.
Pour the milk-egg mixture over the French bread. Let sit for one hour and 30 minutes.
Bake for 20 minutes, then lower temperature to 300 degrees and bake an additional 20 minutes or until puffy and brown.