Of course you _can_ write such an app using only the standard Java APIs;
that's true of most programming languages.
Were you concerned about something in particular? At www.ofx.net you'll
see the spec, which are the best guide, though they are voluminous and
refer to other complex specs.
I know that at least one Sun partner has done this, using the Java Web
Server (to reuse HTTP and SSL code) with custom OFX code. If you are
interested, I suggest that you contact your local Sun sales office.
- Dave