It is possible to construct an arbitrage-free interest rate model in which the LIBOR rates follow a log-normal process
leading to Black-type pricing formulae for caps and floors. The key to their approach is to start directly with modeling
observed market rates, LIBOR rates in this case, instead of instantaneous spot rates or forward rates. This model is
known as the LIBOR Market Model. We formulate the SAFEX-JIBAR market model based on the fact that the forward
JIBAR rates follow a log-normal process. Formulae of the Black-type are deduced.