Is there a standard method to convert a string like \"\\uFFFF\" into character meaning that the string of six character contains a presentation of one unicode character?
The backslash is escaped here (so you see two of them but the s String is really only 6 characters long). If you're sure that you have exactly "\u" at the beginning of your string, simply skip them and converter the hexadecimal value:
String s = "\\u20ac";
char c = (char) Integer.parseInt( s.substring(2), 16 );
After that c shall contain the euro symbol as expected.