The Cainhurst way is a mix of nostalgia and bombast. They take great pride even in the blood-stained corpses of beasts that they leave behind, confident that they will stand as examples of decadent."
The Knight's Wig can be found on the roof of Cainhurst Castle library. Use the ladder in the library to reach the top floor and then take the staircase to the roof. The Knight's Wig will be towards the center of the roof.