Man amixer:

'A simple mixer control must be specified. Only one device can be controlled at a time.'

Then later:

' -D device

              Select the device name to control. The default control name is 'default'.'

The problem was that only sees one device! In my case it was the web camera plugged in which has a Mic.
Unplugging the camera allows amixer to see other audio devices and control the sound with 'set' command.
The question remains, why amixer can't see all the devices plugged in.

So, I'm trying to setup a keyboard shortcut to increase/decrease volume.

Internet suggest to bind a shortcut to the command:

amixer set Master 5dB+

The problem is that amixer does not see Master channel:

amixer: Unable to find simple control 'Master',0

Here is the output of amixer contents

numid=1,iface=MIXER,name='Mic Capture Switch'
  ; type=BOOLEAN,access=rw------,values=1
  : values=off
numid=2,iface=MIXER,name='Mic Capture Volume'
  ; type=INTEGER,access=rw---R--,values=1,min=0,max=17,step=0
  : values=5
  | dBminmax-min=6.00dB,max=31.00dB

Of course Mic is not what I want to change the volume for.
There are other channels (including Master) that can be seen with alsamixer.