How to assign an event handler for DataTemplate in code?

I try to dynamically create and assign a DataTemplate to a HeaderTemplate of DataGrid through code. To do this I have a method GetDatatemplate(string fromstring) that defines an XML literal and then uses this to create a DataTemplate. This works fine as long as I don't include the MouseLeftButtonDown event handler in the DataTemplate.

My DataTemplate saved in string variable StringHeaderTemplate:

private string StringHeaderTemplate =@"<DataTemplate><DataTemplate.Resources><ControlTemplate x:Key=""imgNo"" TargetType=""{x:Type Control}""><Image Source = ""pack://application:,,,/Images/upArrow.png"" /></ControlTemplate ><ControlTemplate x:Key=""imgUp"" TargetType=""{x:Type Control}""><Image Source = ""pack://application:,,,/Images/upArrow.png"" /></ControlTemplate ><ControlTemplate x:Key=""imgDown"" TargetType=""{x:Type Control}"" ><Image Source = ""pack://application:,,,/Images/downArrow.png"" /></ControlTemplate ></DataTemplate.Resources><Grid Background=""Transparent"" MouseLeftButtonDown=""Grid_MouseLeftButtonDown""><Grid.RowDefinitions><RowDefinition/><RowDefinition/><RowDefinition/></Grid.RowDefinitions><Button Content=""Hello""/><TextBlock Grid.Row=""1"" HorizontalAlignment= ""Center"" Text = ""TextBlock"" /><CheckBox Grid.Row= ""2"" HorizontalAlignment= ""Center"" IsChecked= ""True"" /></Grid ></DataTemplate>";

And the method which gets DataTemplate:

private DataTemplate GetDatatemplate(string fromstring)
{
    ParserContext context = new ParserContext();
    context.XmlnsDictionary.Add("", "http://schemas.microsoft.com/winfx/2006/xaml/presentation");
    context.XmlnsDictionary.Add("x", "http://schemas.microsoft.com/winfx/2006/xaml");
    return  (DataTemplate)XamlReader.Parse(fromstring, context);
}

Then I just apply this DataTemplate to HeaderTemplate of DataGrid:

DataTemplate dtCell = null;
DataTemplate dtHeader = null;
string dtString = string.Empty;
string dtHeaderString = string.Empty;
switch(Type.GetTypeCode(e.PropertyType))
{
   case TypeCode.String:
   dtString = StringTemplate.Replace("xxColumnxx", e.PropertyName);
   dtHeaderString=StringHeaderTemplate;
   break;
}
if(!string.IsNullOrEmpty(dtString))
{
   dtCell = GetDataTemplateForDataGrid(dtCellString);
   dtHeader = GetDataTemplateForDataGrid(dtHeaderString);
   DataGridTemplateColumn c = new DataGridTemplateColumn()
   {
      CellTemplate = dtCell,
      HeaderTemplate = dtHeader,
   };
   e.Column = c;
}

The event handler is really simple:

private void Grid_MouseLeftButtonDown(object sender, MouseButtonEventArgs e)
{
   MessageBox.Show(DateTime.Now.ToString());
}

The exception I get is a XamlParseException that has an InnerException of type ArgumentException that says:

"Cannot bind to the target method because its signature or security transparency is not compatible with that of the delegate type."

Any ideas what to do?