Dexamethasone, Carfilzomib, & Nivolumab With Pelareorep for Relapsed/Refractory Multiple Myeloma

Inclusion Criteria: * Patient must have multiple myeloma that fits or did fit International Myeloma Working Group (IMWG) diagnostic criteria * In arm 3 but not for arms 1 or 2, patients must have measurable disease defined as any of the following: * Serum monoclonal protein ≥ 0.5 g/dL by protein electrophoresis * ≥ 200 mg of monoclonal protein in the urine on screening 24-hour electrophoresis * If no m-spike is present, involved serum immunoglobulin free light chain ≥ 100 mg/L AND an abnormal serum light chain ratio (\< 0.26 or \> 1.65) * Progressive disease or clinical relapse at the time of study entry as defined by IMWG * Arm ONE only: Patients must be carfilzomib naive and have received ≥ 2 prior lines of therapy and must have included an IMiD, proteasome inhibitor, and anti-cluster of differentiation 38 (CD38) antibody as defined below * IMiD exposure: At least 1 cycle of prior treatment unless stopped due to intolerance * CD38 antibody exposure: At least 4 doses unless stopped due to intolerance * Proteasome inhibitor exposed: At least 1 cycle of prior treatment unless stopped due to intolerance * Arm TWO and THREE only: Patients must have received ≥ 3 prior lines of therapy and must have included an immunomodulatory imide drug (IMiD), proteasome inhibitor, and anti-CD38 antibody as above along with evidence of proteasome inhibitor resistance defined as less than or equal to stable disease with prior treatment with a proteasome inhibitor containing regimen at moderate doses defined as carfilzomib 27+ mg/m²/week (wk), bortezomib 1.3+ mg/m²/wk subcutaneously (SQ) or IV, or ixazomib 3+ mg/wk orally (PO) * Both men and women of all races and ethnic groups are eligible for this study * Eastern Cooperative Oncology Group (ECOG) performance status \< 2 (Karnofsky \> 60%) is required for eligibility. Those patients with lower performance status based solely on bone pain secondary to multiple myeloma are eligible * Prior autologous and/or allogeneic transplant is permitted although transplant must have occurred greater than 90 days prior to registration * Absolute neutrophil count (ANC) \> 1000/µL for at least one week prior to screening * Platelet count ≥ 70,000 and platelet transfusion independent for one week prior to screening (platelets allowed to be down to 50,000 if \> 50% plasma cells on screening aspirate or core biopsy) * Estimated creatinine clearance ≥ 30 mL/min as defined by Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) or Cockcroft-Gault * Total bilirubin \< 1.5 mg/dL * Aspartate aminotransferase (AST) and alanine aminotransferase (ALT) \< 3x the institutional upper limit of normal * Left ventricular ejection fraction ≥ 40% * Females of childbearing potential (FCBP) must have a negative serum or urine pregnancy test prior to starting therapy. The effects of pelareorep and nivolumab on the developing human fetus are unknown. For this reason, women of child-bearing potential and men must agree to use adequate contraception (hormonal or barrier method of birth control; abstinence) prior to study entry and for the duration of study participation. Should a woman become pregnant or suspect she is pregnant while she or her partner is participating in this study, she should inform her treating physician immediately. Female of childbearing potential (FCBP) is a sexually mature woman who: 1) has not undergone a hysterectomy or bilateral oophorectomy; or 2) has not been naturally postmenopausal for at least 24 consecutive months (i.e., has had menses at any time in the preceding 24 consecutive months) * The patient must be willing to comply with fertility requirements as below: * Male patients must agree to use an adequate method of contraception for the duration of the study and for 7 months afterwards * Female patients must be either postmenopausal, free from menses ≥ 2 years, surgically sterilized, willing to use two adequate barrier methods of contraception to prevent pregnancy, or agree to abstain from heterosexual activity starting with screening and for 5 months after last treatment in all patients * Patients must agree not to donate blood, sperm/ova while taking protocol therapy and for at least 7 months after stopping treatment (for males) and 5 months after stopping treatment (for females) * Ability to understand and the willingness to sign a written informed consent document * Patients with a prior or concurrent malignancy whose natural history or treatment does not have the potential to interfere with the safety or efficacy assessment of the investigational regimen are eligible for this trial Exclusion Criteria: * Known human immunodeficiency virus (HIV) infection or active hepatitis B or C due to risk of viral infectivity of pelareorep * Known pulmonary hypertension * Patients who are receiving any other anti-myeloma investigational agents * Polyneuropathy, organomegaly, endocrinopathy, monoclonal protein, skin changes (POEMS) syndrome, primary amyloidosis (AL amyloidosis), and Waldenstrom macroglobulinemia * Patients who have had anti-myeloma treatment, radiotherapy, plasmapheresis, or major surgery (as defined by the investigator) within 2 weeks prior to cycle 1 day 1 of the study. Patients may be receiving concomitant therapy with bisphosphonates and low dose corticosteroids (e.g., prednisone up to but no more than 10 mg by mouth daily or its equivalent) for symptom management and comorbid conditions * Uncontrolled illness including, but not limited to, ongoing or active infection, symptomatic congestive heart failure, unstable angina pectoris, cardiac arrhythmia, myocardial infarction in the preceding 6 months, or psychiatric illness/social situations that would limit compliance with study requirements * Pregnant women are excluded from this study because protocol therapy has the potential for teratogenic or abortifacient effects. Because there is an unknown but potential risk for adverse events in nursing infants secondary to protocol treatment of the mother, breastfeeding should be discontinued