Study Groups:~If participant is found to be eligible to take part in this study, participant will be assigned to a study group based on when participant joins this study. Up to 2 groups of up to 6 participants each will be enrolled in the Dose Escalation Part of the study, and up to 24 participants will be enrolled in the Dose Expansion Part.~If participant is enrolled in the Dose Escalation Part, the dose of nivolumab participant receives will depend on when participant joins this study. The first group of participants will receive the lowest dose level of nivolumab. A second group will then receive a higher dose of nivolumab than the group before it, if no intolerable side effects were seen.~If participant is enrolled in the Dose Expansion Part, participant will receive nivolumab at the highest dose that was tolerated in the Dose Escalation Part.~All participants will receive the same dose levels of ipilimumab, dexamethasone, and lenalidomide.~Study Drug Administration:~The first 4 study cycles will be 21 days long, and all remaining cycles will be 28 days long.~On Day 1 of Cycles 1-4, participant will receive nivolumab by vein over 60 minutes. Thirty (30) minutes after participant receives nivolumab, participant will receive ipilimumab by vein over 90 minutes. On Days 1 and 15 of Cycles 5 and beyond, participant will receive nivolumab by vein over 60 minutes.~Participant will take tablets of lenalidomide on Days 1-14 of Cycles 1-4 and on Days 1-21 of Cycles 5 and beyond. Participant will take tablets of dexamethasone on Days 1, 8, and 15 of Cycles 1-4, and on Days 1, 8, 15, and 22 of Cycles 5 and beyond.~Study Visits:~On Day 1 of Cycles 1- 4 (+/- 7 days):~Participant will have a physical exam.~Blood (about 3 tablespoons) will be drawn for routine tests, biomarker testing, and to check the status of the disease. If participant can become pregnant, this routine testing will also include a pregnancy test.~Urine will be collected over 24 hours for routine tests and to check the status of the disease.~During Cycle 3 only, participant will have 2 bone marrow biopsies/aspirations to check the status of the disease and for biomarker testing, including genetic biomarkers.~During Cycle 3 only, urine will be collected for biomarker testing.~At the end of Cycle 4, participant will have an ECHO and pulmonary function test to check the status of participant's lungs and heart.~On Day 1 of Cycles 5 and beyond:~Participant will have a physical exam.~Blood (about 2 tablespoons) and urine will be collected for routine tests and to check the status of the disease. If participant can become pregnant, this routine testing will also include a pregnancy test.~Urine will be collected over 24 hours for routine tests and to check the status of the disease.~Some participants will have a stem cell transplant after Cycle 4. If participant does not have a stem cell transplant, blood (about 1 tablespoon) will be drawn for tests of the immune system every cycle. If participant does have a stem cell transplant, this will only be done every 3 cycles.~If participant does not have a stem cell transplant, on Day 1 of Cycles 5 and every 3 cycles after that, urine will be collected for biomarker testing.~On Day 15 of Cycles 5 and beyond, blood (about 1 tablespoon) will be drawn for routine tests.~If at any point participant does have a stem cell transplant, participant will have 2 bone marrow biopsies or aspirations to check the status of the disease and for biomarker testing after the transplant.~End-of-Treatment Visits:~When participant stops taking the study drug:~Blood (about 1-2 tablespoons) and urine will be collected for routine tests, to check the status of the disease, and to learn how the study drugs work in participant's body. If participant can become pregnant, part of this blood will be used for a pregnancy test.~Participant will have 2 bone marrow biopsies/aspirations to check the status of the disease and for biomarker testing, including genetic biomarkers.~If at any point the disease gets worse:~Blood (about 2 tablespoons) and urine will be collected for routine tests and to check the status of the disease.~Urine will be collected over 24 hours for routine tests and to check the status of the disease.~Participant will have a bone survey to check the status of the disease.~Participant will have a bone marrow biopsy or aspiration to check the status of the disease and for biomarker testing, including genetic biomarkers.~Blood (about 3 teaspoons) will be drawn for genetic testing to learn if there is a relationship between participant's genes and the disease~Follow-Up:~If the doctor thinks it is needed, participant may have the following tests. The schedule for these tests will depend on what participant's doctor thinks is in participant's best interest.~Blood (about 2 tablespoons) and urine will be collected for routine tests and to check the status of the disease. If participant can become pregnant, this routine testing will also include a pregnancy test.~Urine will be collected over 24 hours for routine tests and to check the status of the disease.~Participant will have bone marrow biopsies or aspirations to check the status of the disease and for biomarker testing, including genetic biomarkers.~Participant will have a bone survey to check the status of the disease.~This is an investigational study. Nivolumab and ipilimumab are FDA approved for the treatment of certain types of melanoma. Their use in patients with MM is investigational. Lenalidomide in combination with dexamethasone is FDA approved for the treatment for multiple myeloma. The study doctor can explain how the study drugs are designed to work.~Up to 36 participants will be enrolled in this study. All will take part at MD Anderson.
This study has 2 parts: a Dose Escalation Part and a Dose Expansion Part.~The goal of the Dose Escalation Part of this clinical research study is to find the highest tolerable dose of nivolumab in combination with ipilimumab and the standard of care (lenalidomide and dexamethasone) that can be given to patients with multiple myeloma (MM).~The goal of the Dose Expansion Part of this clinical research study is to continue to study the safety of the highest tolerable dose found in Phase 1 of the study.