Inclusion Criteria:

          -  Phase I: Histologically confirmed grade III or IV malignant glioma.

          -  Phase II: Histologically confirmed grade IV malignant glioma (GBM).

             *Note: GBM variants and suspected secondary GBM are allowed for both phase I and phase
             II.

          -  Unequivocal evidence of tumor progression as documented by biopsy or brain MRI scan
             per RANO criteria.

          -  There must be an interval of at least 12 weeks from the completion of standard front
             line therapy to study registration unless there is unequivocal evidence for tumor
             recurrence per RANO criteria. When the interval is less than 12 weeks, the use of
             perfusion imaging and/or PET scan is allowed to differentiate between unequivocal
             evidence of tumor recurrence and pseudoprogression. Standard front line therapy is as
             described below:

               -  For grade IV malignant gliomas (GBM): Standard front line therapy for newly
                  diagnosed GBM must include maximal feasible surgical resection (biopsy alone
                  allowed), radiotherapy, and temozolomide chemotherapy. If the tumor was initially
                  diagnosed as either a grade II or III tumor and now has recurred or progressed as
                  a grade IV GBM, it will be considered a secondary recurrent grade IV GBM and will
                  be eligible for this study as long as prior treatment included maximal feasible
                  surgical resection (biopsy alone allowed), radiotherapy, and temozolomide
                  chemotherapy.

               -  For grade III malignant gliomas with 1p 19q codeletions: Standard front line
                  therapy for newly diagnosed grade III malignant gliomas must include maximal
                  feasible surgical resection (biopsy alone allowed), radiotherapy, and
                  chemotherapy (PCV or temozolomide). If the patient did not receive any or all
                  components of the standard front line therapy as detailed above for newly
                  diagnosed grade III gliomas and the tumor then recurred or progressed, s/he must
                  first receive at least one prior standard therapy or any appropriate combination
                  of the components of standard therapy as detailed above and must experience
                  further recurrence or progression before s/he is deemed eligible for this study.
                  If the tumor was initially diagnosed as a grade II glioma with 1p 19q codeletions
                  and now has recurred or progressed as a grade III tumor, it will be considered a
                  secondary recurrent grade III glioma with 1p 19q codeletions and will be eligible
                  for this study as long as prior treatment included maximal feasible surgical
                  resection (biopsy alone allowed), radiotherapy, and chemotherapy (PCV or
                  temozolomide).

               -  For grade III malignant gliomas without 1p 19q codeletions: Standard front line
                  therapy for newly diagnosed grade III malignant gliomas must include maximal
                  feasible surgical resection (biopsy alone allowed), radiotherapy, and
                  temozolomide chemotherapy. If the tumor was initially diagnosed as a grade II
                  glioma without 1p 19q codeletions and now has recurred or progressed as a grade
                  III tumor, it will be considered a secondary recurrent grade III glioma without
                  1p 19q codeletions and will be eligible for this study as long as prior treatment
                  included maximal feasible surgical resection (biopsy alone allowed),
                  radiotherapy, and temozolomide chemotherapy.

          -  Candidate for MLA based on the size, location, and shape of the recurrent tumor as
             determined by the performing neurosurgeon. Surgical resection/debulking prior to MLA
             is allowed per standard of care but is not required; if the patient undergoes
             resection or debulking, it must have occurred at least 3 weeks prior to the first dose
             of MK-3475. For Phase II: if surgical resection/debulking prior to MLA is not
             indicated, a biopsy of the tumor will be done at the same time of MLA to obtain tumor
             tissue for both diagnostic purposes and immune monitoring.

          -  Patients who have undergone a resection for recurrence will be eligible. In those who
             have undergone a gross total resection, the MLA will be directed at treating a
             peritumoral margin of 0.5-1cm surrounding the resection cavity to disrupt the BBB and
             potentially increase access of MK-3475 to the peritumoral infiltrating glioma cells.

          -  At least 18 years of age.

          -  Karnofsky ≥ 60%

          -  Normal bone marrow and organ function as defined below:

               -  ANC ≥ 1,500/mcL

               -  Platelets ≥ 100,000/mcL

               -  Hemoglobin ≥ 9 g/dL or ≥ 5.6 mmol/L

               -  Serum creatinine ≤ 1.5 x IULN OR creatinine clearance by Cockcroft-Gault ≥ 60
                  mL/min for patients with serum creatinine > 1.5 x IULN

               -  Serum total bilirubin ≤ 1.5 x IULN OR direct bilirubin ≤ IULN for patients with
                  total bilirubin > 1.5 x IULN

               -  AST (SGOT) and ALT (SGPT) ≤ 2.5 x IULN (or ≤ 5 x IULN for patients with liver
                  metastases)

               -  INR or PT ≤ 1.5 x IULN unless patient is receiving anticoagulant therapy as long
                  as PT or PTT is within therapeutic range of intended use of anticoagulants

               -  aPTT ≤ 1.5 x IULN unless patient is receiving anticoagulant therapy as long as PT
                  or PTT is within therapeutic range of intended use of anticoagulants

          -  Sexually active women of childbearing potential and men must agree to use
             contraception (as described in the protocol) prior to study entry, for the duration of
             study participation, and for 120 days after last dose of MK-3475. Should a woman
             become pregnant or suspect she is pregnant while participating in this study, she must
             inform her treating physician immediately.

          -  Patients with the ability to understand and willingness to sign an IRB approved
             written informed consent document will be enrolled into the trial. However, should a
             patient lose their ability to consent while participating in this study and s/he is
             still receiving clinical benefit from participation, s/he may continue on study with
             the consent of a Legally Authorized Representative.

        Exclusion Criteria:

          -  Prior treatment with any anti-angiogenic agent (including bevacizumab).

          -  Prior treatment with an anti-PD-1, anti-PD-L1, anti-PD-L2, or anti-CD137, or
             anti-cytotoxic T-lymphocyte-associated antigen-4 (CTLA-4) antibody (including
             ipilimumab or any other antibody or drug specifically targeting T-cell co-stimulation
             or checkpoint pathways).

          -  Prior treatment with a monoclonal antibody within 4 weeks prior to the first dose of
             MK-3475 or has not recovered (i.e. ≤ grade 1 or at baseline) from adverse events due
             to agents administered more than 4 weeks earlier.

          -  Prior chemotherapy, targeted small molecule therapy, or radiation therapy within 2
             weeks prior to the first dose of MK-3475 or has not recovered (i.e. ≤ grade 1 or at
             baseline) from adverse events due to a previously administered agent.

               -  Note: patients with ≤ grade 2 neuropathy are an exception to this criterion and
                  may qualify for the study.

               -  Note: if a patient underwent major surgery, s/he must have recovered adequately
                  from the toxicity and/or complications from the intervention prior to starting
                  therapy.

          -  Candidates for curative resection or urgent surgical procedure(s) needed.

          -  Presence of infratentorial lesions, brainstem lesions, or lesions that are less than 5
             mm from the hyophysis or cranial nerves.

          -  Multifocal gliomas that are bilateral. Patients with unilateral multifocal gliomas may
             be eligible if their multifocal disease can be treated effectively and safely in a
             single MLA procedure.

          -  Presence of leptomeningeal metastases.

          -  Recent (within 8 weeks) history of CNS hemorrhage unless the hemorrhage is located
             within the tumor that will be removed en total during surgical debulking or ablated
             during MLA.

          -  Requires therapeutic doses of anticoagulants unless anticoagulation can be safely
             discontinued before surgery per standard practice (e.g. first DVD for which
             anticoagulation has been at least 3 months and repeat imaging demonstrates resolution
             of DVT) or an IVC filter can be used in place of anticoagulation. Subjects are
             permitted to resume anticoagulation following surgery per discretion of treating
             physician and/or site SOPs

          -  Received prior local therapy (stereotactic radiosurgery, brachytherapy, or carmustine
             wafers) to the proposed area of MLA treatment.

          -  Received a live vaccine or live-attenuated vaccine within 30 days prior to the first
             dose of MK-3475. Administration of killed vaccines is allowed.

          -  Currently receiving any other investigational agents or has participated in a study of
             an investigational agent or using an investigational device within 3 weeks of the
             first dose of MK-3475.

          -  A history of allergic reactions attributed to compounds of similar chemical or
             biologic composition to MK-3475 or other agents used in the study.

          -  Dexamethasone > 4 mg at the time of registration

          -  Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy
             (in dosing exceeding 10 mg daily of prednisone equivalent) or any other form of
             immunosuppressive therapy within 7 days prior to the first dose of trial treatment
             (with the exception of daily dexamethasone ≤ 4 mg).

          -  Uncontrolled intercurrent illness including, but not limited to, ongoing or active
             infection, symptomatic congestive heart failure, unstable angina pectoris, cardiac
             arrhythmia, uncontrolled hypertension, or psychiatric illness/social situations that
             would limit compliance with study requirements.

          -  Has an active autoimmune disease requiring systemic treatment within the past 2 years
             (i.e. with use of disease modifying agents, corticosteroids, or immunosuppressive
             drugs). Replacement therapy (e.g. thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a
             form of systemic treatment.

          -  Has a history of (non-infectious) pneumonitis/interstitial lung disease that required
             steroids or current pneumonitis/interstitial lung disease.

          -  Pregnant and/or breastfeeding. Patient must have a negative serum or urine pregnancy
             test within 72 hours of study entry.

          -  Known history of hepatitis B (e.g.,defined as hepatitis B surface antigen [HBsAg]
             reactive) or known active hepatitis C virus (e.g.,defined as HCV RNA [qualitative] is
             detected) infection.

          -  Known history of active TB (bacillus tuberculosis).

          -  Known history of HIV (HIV 1/2 antibodies).