Nivolumab in Treating Patients With Primary Myelofibrosis, Post-Essential Thrombocythemia Myelofibrosis, or Post-Polycythemia Vera Myelofibrosis

Inclusion Criteria:

* Diagnosis of MF (either primary or post essential thrombocythemia/polycythemia vera) requiring therapy, including those previously treated and relapsed or refractory, or if newly diagnosed, with intermediate-1 or -2 or high risk according to International Prognostic Scoring System (IPSS)
* Previously treated with ruxolitinib (unless not a good candidate for ruxolitinib therapy in the judgment of treating physician)
* Palpable splenomegaly or hepatomegaly of more than or equal to 5 cm below left or right, respectively, costal margin on physical exam
* Understanding and voluntary signing an institutional review board (IRB)-approved informed consent form
* No prior history of immune checkpoint modulator therapy
* Disease-free of other malignancies
* Eastern Cooperative Oncology Group (ECOG) performance status 0 to 2
* Negative pregnancy test in females of childbearing potential (FCBP); male patients with female partners of child-bearing potential and female patients of childbearing potential are required to use two forms of acceptable contraception, including one barrier method, during their participation in the study and for 23 weeks (for females) or 31 weeks (for males) following the last dose of study medication; acceptable forms of contraception include 1 highly effective method such as an intrauterine device (IUD), hormonal (birth control pills, injections, or implants), tubal ligation, or partner's vasectomy and at least 1 additional approved barrier method such as a latex condom, diaphragm, or cervical cap plus spermicide; female patients of childbearing potential must not be breast-feeding or planning to breast feed and must have a negative pregnancy test within 24 hours of the first study treatment
* Direct bilirubin equal to or less than 1.5 x upper limit of normal (ULN)
* Serum creatinine equal to or less than 1.5 x ULN
* Aspartate aminotransferase (AST) (serum glutamic oxaloacetic transaminase \[SGOT\]) and alanine aminotransferase (ALT) (serum glutamate pyruvate transaminase \[SGPT\]) equal to or less than 2.5 x ULN (unless considered to be related to MF or patient has known history of Gilberts, in which case it must be equal to or less than 5 x ULN)

Exclusion Criteria:

* Use of any other standard or experimental therapy within 14 days of starting study therapy
* Lack of recovery from all toxicity from previous therapy to grade 1 or baseline
* Any concurrent severe and/or uncontrolled medical conditions that could increase the patient's risk for toxicity while in the study or that could confound discrimination between disease- and study treatment-related toxicities
* Documented history of a cerebral vascular event (stroke or transient ischemic attack), unstable angina, myocardial infarction, or cardiac symptoms consistent with New York Heart Association class III-IV within 6 months prior to their first dose of the study drugs
* Patients who are currently receiving chronic (\> 14 days) treatment with corticosteroids at a dose equal to or more than 10 mg of prednisone (or its glucocorticoid equivalent) per day, or any other chronic immunosuppressive treatment that cannot be discontinued prior to starting study drug
* Patients with autoimmune diseases are excluded: patients with a history of inflammatory bowel disease (including Crohn's disease and ulcerative colitis) are excluded from this study as are patients with a history of autoimmune disease (e.g., rheumatoid arthritis, systemic progressive sclerosis \[scleroderma\], systemic lupus erythematosus, autoimmune vasculitis)
* Pregnant or breast feeding (lactating) women, where pregnancy is defined as the state of a female after conception and until the termination of gestation, confirmed by a positive beta-human chorionic gonadotropin (HCG) laboratory test
* Known positive for human immunodeficiency virus (HIV) or infectious hepatitis, type A, B or C
* The use of dietary supplements or herbal medications within 7 days of starting study therapy