Actually, you dont need to inherit INotifyPropertyChanged for both classes Contact and Company since ObservableCollection already provides notifications.

From msdn
http://msdn.microsoft.com/en-us/library/ms668604.aspx

ObservableCollection(T) Class definition:
“Represents a dynamic data collection that provides notifications when items get added, removed, or when the whole list is refreshed.”

I took the example, got rid of the notifying setters and it works find!

Contact would be:
public class Contact
{
public int Id { get; set; }

public int CompanyId { get; set; }

public string FirstName { get; set; }

public string LastName { get; set; }

public Contact(int id,
int companyId,
string firstName,
string lastName)
{
this.Id = id;
this.CompanyId = companyId;
this.FirstName = firstName;
this.LastName = lastName;
}
}