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