In this paper, we study the problem of cooperative interference management in an OFDMA two-tier small cell network. In particular, we propose a new approach for allowing the small cells to cooperate, so as to optimize their sum-rate, while cooperatively satisfying their maximum transmit power constraints. Unlike existing works which assume that only disjoint groups of cooperative small cells can emerge, we formulate the small cells' cooperation problem as an overlapping coalition formation game. In this game, each small cell base station can choose to participate in one or more cooperative groups (or coalitions) simultaneously, so as to optimize the tradeoff between the benefits and costs associated with cooperation. We study the properties of the proposed game and we show that it exhibits negative externalities due to interference. Then, we propose a novel decentralized algorithm that allows the small cell base stations to interact and self-organize into a stable overlapping coalitional structure. Simulation results show that the proposed algorithm results in a notable performance advantage in terms of the total system sum-rate, relative to the noncooperative case and the classical algorithms for coalitional games with non-overlapping coalitions.