How to bind column header to property in ViewModel? (WPF MVVM)

The accepted answer didn't work for me.

I was able to make this work.

<FrameworkElement x:Name="proxy" DataContext="{Binding}"/>

<DataGridTextColumn Header="{Binding Source={x:Reference proxy}, Path=DataContext.MyTitle}/>

Unfortunately, the column definitions of the DataGrid don't inherit the DataContext, because they're not part of the visual tree, so you can't bind directly to the ViewModel. You need to resort to a workaround such as the one described in this article:

<DataGrid.Resources>
    <local:BindingProxy x:Key="proxy" Data="{Binding}" />
</DataGrid.Resources>

...

<DataGridTextColumn Header="{Binding Data.MyTitle, Source={StaticResource proxy}}"/>