For the marrow bones: Submerge the marrow bones in ice water to soak overnight in the refrigerator. This is to draw out any impurities that they’re holding onto. The marrow will become slightly less pink and begin to turn white.
For the salsa verde: In a mixing bowl, combine the olive oil, parsley, capers, chili flakes, anchovies, shallots, garlic, jalapeno and lemon zest and juice. Season with salt and pepper and let stand at room temperature for at least 15 minutes to let the flavors meld.
Preheat the oven to 375 degrees F. Preheat a grill pan over medium-high heat.
Remove the bones from the ice water and pat dry. Discard the water. Line up the marrow bones on a half sheet tray and roast until the marrow in the center is very soft and molten, about 7 minutes.
For serving: Slice the baguette on a diagonal with a serrated knife, brush with olive oil and grill on both sides until toasted, about 1 minute per side.
Add the roasted marrow to a plate or platter. Spoon the salsa verde over the top, followed by the caviar. Serve with the grilled bread on the side.
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