  In this paper we consider the pricing of options on interest rates such as
caplets and swaptions in the L\'evy Libor model developed by Eberlein and
\"Ozkan (2005). This model is an extension to L\'evy driving processes of the
classical log-normal Libor market model (LMM) driven by a Brownian motion.
Option pricing is significantly less tractable in this model than in the LMM
due to the appearance of stochastic terms in the jump part of the driving
process when performing the measure changes which are standard in pricing of
interest rate derivatives. To obtain explicit approximation for option prices,
we propose to treat a given L\'evy Libor model as a suitable perturbation of
the log-normal LMM. The method is inspired by recent works by Cern\'y, Denkl
and Kallsen (2013) and M\'enass\'e and Tankov (2015). The approximate option
prices in the L\'evy Libor model are given as the corresponding LMM prices plus
correction terms which depend on the characteristics of the underlying L\'evy
process and some additional terms obtained from the LMM model.
