This compares the effects of nivolumab at a fixed dose of 40 mg with chemo-immunotherapy versus chemo-immunotherapy alone in treating patients with newly diagnosed primary mediastinal B-cell lymphoma (PMBCL). Immunotherapy with monoclonal antibodies, such as nivolumab, may help the body's immune system attack the cancer, and may interfere with the ability of cancer cells to grow and spread. Treatment for PMBCL involves chemotherapy combined with an immunotherapy called rituximab. Chemotherapy drugs work in different ways to stop the growth of cancer cells, either by killing the cells, by stopping them from dividing, or by stopping them from spreading. Rituximab is a monoclonal antibody. It binds to a protein called CD20, which is found on B cells (a type of white blood cell) and some types of cancer cells. This may help the immune system kill cancer cells. Giving nivolumab with chemo-immunotherapy may help treat patients with PMBCL.