 2. 2 weeks must have elapsed since receiving any radiotherapy, or 3 weeks or 5 half-lives whichever is shorter for treatment with cytotoxic or biologic agents 6 weeks for mitomycin or nitrosoureas. Chronic treatment with non-investigational gonadotropin-releasing hormone analogs or other hormonal or supportive care is permitted 5. Patient has adequate biological parameters as demonstrated by the following blood counts at time of screening: 6. Absolute neutrophil count ANC 1500 mm3, platelet count 100×109 L, hemoglobin 9 gdL 7. Serum creatinine 2.0, total bilirubin 2 mgdL, ASTALT 5 times the upper limit of normal ULN range except: for the nab-paclitaxel containing arm, bilirubin 1.25 times the ULN and for the docetaxel containing arm, bilirubin must be within institutional normal limits and ASTALT 1.5 times the ULN 8. Thyroid stimulating hormone TSH within institutional normal limits. If TSH is above the upper limit of normal range, then a free T4 within institutional normal limits is acceptable 9. Persistent prior systemic therapy non-hematologic AE grade 2 except alopecia or correctable electrolyte abnormality with supplementation 10. Patient has a Karnofsky performance status KPS 70 11. Women of child-bearing potential i.e., women who are pre-menopausal or not surgically sterile must be willing to use an acceptable contraceptive method abstinence, oral contraceptive or double barrier method for the duration of the study and for 4 months following the last dose of pembrolizumab and 30 days following the last dose of chemotherapy on this trial, and must have a negative urine or serum pregnancy test within 2 weeks prior to beginning treatment on this trial Phase II only 