I recently learned that 3ds Max is capable of creating caustics that can be seen in the air, and I made a little test animation. Render times are suprisingly short when settings are tweaked correctly; about 2-3 minutes per frame with resolution 800x400. Had to drop AA settings to Low. No FG or GI in this scene. Light shines down from the top and hits transparent object and the light is refracted and reflected causing caustics. Caustics are seen on the walls but are also seen as beams of light in the air, creating a smoky or dusty atmosphere. This animation is done in 3ds Max 2010 without any plugins.

All you need are these shaders, that ship with Max:
– Transmat photon (physics)
– Parti volume (physics)

This is a short version of how this scene is build:

1. Made an box with a hole in roof, put shell modifier in it.
2. Put a direct light, size of the hole, shine through the roof.
3. Put a plane in the hole, assigned with 'mental ray' material which has a 'Transmat photon (physics)' in 'Photon' slot. (as I understand it, this turns the photons from a light source in visible form.)
4. Put another plane below the first one, assigned with glass material, set 'reflectivity' to 0, tagged 'thin walled' and 'refract light and generate caustic effect' and put shader 'Parti volume (physics)' in the 'Photon volume' slot in the 'mental ray connection' tab. (this causes the material to pass photons that are seen in the air.)
5. Put a rotating object in the scene where light hits. Material is glass with caustics turned on and 'Parti volume (physics)' in the 'Photon volume' slot in the 'mental ray connection' tab. (every material you want to create volumetric caustics needs to have this shader in 'Photon volume' slot, reflective or refractive!!)
6. Put some colored mirrors in the corners using same principles.

Render setup settings:

1. Enabled caustics. Tagged 'All Objects Generate & Receive GI and Caustics'. Changed 'Maximum Num. Photons per sample' to 12 to speed up rendering and creating smoky detail to caustics.
2. Put 'Parti volume (physics)' sharer in Volume slot. Dragged it to material editor in order to edit setting in it.
3. Sometimes you need to tag 'Use Autovolume' to make volumetric caustics to work. (still testing!) With these settings you should be able to create such effects. Conditions are very picky and sometimes requires changing settings in 'Parti volume (physics)' shader to even be visible.