Part 1 of the study will assess the dose limiting toxicity (DLT) of nab-paclitaxel in combination with a fixed dose of pembrolizumab (200 mg administered on day 1 of each 21 day cycle). Dose escalation for nab-paclitaxel will be conducted according to the "3+3 design" until the recommended phase 2 dose (RP2D) is determined.