Past exam of the probability course of the University of Oxford / 2015 / 1 / c / ii / Solution

For fixed real $t$, Taylor's theorem for the exponential function givesSubstituting into the previous moment-generating function,The continuity theorem for moment-generating functions states that, if the moment-generating functions of $Z_n$ and $Z$ are finite on a common open interval containing zero and $M_{Z_n}(t)\to M_Z(t)$ throughout that interval, then $Z_n\stackrel{\mathrm{d}}{\to }Z$. Here finiteness holds for all real $t$, and the limit is the moment-generating function of a standard normal variable. ThereforeThis proves the required instance of the Poisson central limit theorem directly from moment-generating functions; no appeal to a general central limit theorem is needed.