I love this sort of effect, where the caustics are caught by the air an visible along their whole length. I wonder if this is possible at all in Blender, ideally in cycles?
In Blender?
Why not, with a suitable render engine… The image above has been rendered with Indigo, which AFAIK has a Blender exporter (“Blendigo”) available. Thea Render would also come to mind. Or LuxRender, if we’re talking free software.
But in Cycles?
Doubt it, as Cycles is absolutely not designed for stuff like this. You would need an obscene amount of samples before you even start seeing an effect. If you’re interested in advanced simulations of lighting effects, Cycles is not a good choice, as the caustics alone will put Cycles on the spot.
Quick and dirty test to show what I mean, without the added volumetrics:
Basic scene setup is two torus knots (one rounded, the other one facetted) on a sweep with an overhead point light.
Thea Render result after 10 minutes (with dispersion!):
Thea Render result after 10 minutes (without dispersion - as Cycles can’t do that anyway):
…and this is Cycles after 10 minutes:
…and Cycles after 1 hour (around 11000 samples):
And that’s not even something complicated like the “caustics of caustics” example you’re trying to achieve. Cycles was designed for consistency and speed in animations, not for tricky caustic effects.
Thanks for the detailed answer! I’ll give luxrender a go for now and see if I can get something working with free software
Here’s a quick tes I did in LuxRender, using LuxCore with BiDir mode.
Render time 20 mins:
ERdit: Sorry jpeg compression makes it look worse 
Awesome! Thanks for sharing.
Ok but looks the lack of indirect caustics…
Octane Render is better renderer because this software has more realism than other but unfortunately OR demo has resolution screen limited up to 1002x602 with water marks.
I’ll put image rendered with PMC kernel using OR 2.24 demo tomorrow… 
OR 2.24 demo with PMC kernel@35-diff+37-spec,@10k-reject,@paralellism 1, no “caustic blur”.
3 balls have reflection 1.000, transmission 0.94, ior 1.509 and dispersion 0.006
Rendered by EVGA GeForce GTX 780 Ti Classified
PS: Sorry for noises and for seem not good caustics but I can’t incease more than 256,000 samples per pixel due to maximum. I’ll buy OR full version for higher resolution screen to get better caustics and less noises. 
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