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Quasi-Gaussian HJM models are a popular approach for modeling the dynamics ofthe yield curve. This is due to their low dimensional Markovian representation,which greatly simplifies their numerical implementation. We present aqualitative study of the solutions of the quasi-Gaussian log-normal HJM model.Using a small-noise deterministic limit we show that the short rate may explodeto infinity in finite time. This implies the explosion of the Eurodollarfutures prices in this model. We derive explicit explosion criteria under mildassumptions on the shape of the yield curve.

Small-noise limit of the quasi-Gaussian log-normal HJM model