To make it more clear what David said: "Java" is only a specification. It's written in... English (see
The Java Language Specification and
The Java Virtual Machine Specification).
There are different implementations of the JVM: ofcourse Sun's JVM which probably most people use, but IBM and HP have their own implementations for their own hardware and software platforms, and there's for example also JRockit, a JVM originally written by BEA (which was bought by Oracle some time ago) optimized for Intel x86 hardware.
Maybe Sun's JVM was largely written in C or C++ with some assembler, but what the others have been written in is not publicly known.
Most of Sun's JVM is open source (see
OpenJDK) so you can see the source code if you want to (you don't need any special license or permission to get the source code).