  Quasi-Gaussian HJM models are a popular approach for modeling the dynamics of
the yield curve. This is due to their low dimensional Markovian representation,
which greatly simplifies their numerical implementation. We present a
qualitative 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 explode
to infinity in finite time. This implies the explosion of the Eurodollar
futures prices in this model. We derive explicit explosion criteria under mild
assumptions on the shape of the yield curve.
